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NilssonReport Improved

Regular users of this website are familiar with the NilssonReport, a report showing the performance of individual hedge funds, from a large number of perspectives. While not offering the same level of details as the underlying database, it offers access to a number of interesting statistics. We have now improved the statistics section with two more data points:

  • Geometric Returns – Measures the compounded annual rate of return for the underlying strategy. This complements the average annualized return that already existed in the report. We note that some funds have a positive average return, but a negative geometric return. This typically happens to highly leveraged and inefficient strategies. For strategies with a “normal” risk-taking, the average and geometric returns have the same order of magnitude, but whereas the geometric return is typically lower as a function of the underlying volatility of the fund.
  • Maximum Drawdown – Historically, we only included the current drawdown of a fund, but we have now added the maximum historical drawdown. This is a point estimate of the worst loss that the manager has historically experienced. Remember that this is a point estimate and that your largest drawdown is always ahead of you.

The report can be accessed here. Sign up for the underlying database here (free).

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