Database Updated – First Look at Hedge Fund Performance for 2020

NilssonHedge is proud to present our first look at Hedge Fund Performance for 2020, possibly the first look at the performance data across the industry. We note that December generally offered strong returns and most strategies are now back in positive territory for the year (based on a representative subsample). Crypto Funds provided strong returns, but also high volatility. “Traditional” Alternative Investments also performed strongly in the last month of the year. We note that all of our daily hedge fund indices, except the market-neutral strategy are back to new highs after a strong finish.

Nilsson Hedge provides a free CTA/Managed Futures and Hedge Fund database. The vast majority of the database covers CTA or Managed Futures Managers, using a variety of styles and strategies. In addition, NilssonHedge offers supplemental coverage of a number of Long/Short Equity Managers, Fixed Income Strategy, and Multi Strategy hedge funds.

The estimated MTD performance for Hedge Funds is 3.7% taking the YTD number to 17.0% (including Crypto Strategies). The estimated MTD performance for CTAs is 2.6% taking the YTD number to 6.7%. We note that this is an estimate for reporting funds, and that better performing funds typically report early. These estimates do not include funds that have stopped reporting. For the survivorship adjusted number, we would like to direct you to the NilssonHedge indices at https://nilssonhedge.com/index/.

Explore our free overview of Hedge Fund performance at https://nilssonhedge.com/reports/nilsson-report/

Sign up for the database here: https://nilssonhedge.com/database-info/databaseinfo/database/register-for-access-to-the-database/

The Database contains 2006 different managers, representing 3679 different investment strategies. For the current reporting month, 873 managers have reported returns. For the prior month, we have 1599 live managers. In terms of CTAs, for the current reporting month, 145 CTA programs have reported returns. For the prior month, we have 662 live programs.In total, the database contains 26353 years of manager data. We cover 378 bn of Assets in the Hedge Fund space. Out of which 197 bn of Assets in CTA/Managed Futures managers.

Over the last three calendar months, we have added 204 new strategies to the database.

Database overview, including graveyard: Number of CTA Strategies: 2422 Number of Equity Long Short Strategies: 329 Number of Market Neutral Strategies: 108 Number of Event Driven Strategies: 52 Number of Fixed Income Strategies: 120 Number of Crypto Strategies: 196 Number of Asset Allocation Strategies: 132 Number of Risk Premia Strategies: 47

To view estimates of current performance, our daily indices provides unique insights (https://nilssonhedge.com/index/daily-indices/)

This text is auto-generated and may contain mistakes. Past performance is not indicative of future results

ManagerProgramLastMonthYTD
361 Capital361 Global Managed Futures Strategy Fund0.83-5.48
361 Capital361 Managed Futures Strategy Fund0.39-13.76
Abbey CapitalAbbey Capital Futures Strategy3.157.44
Absolute InsightCurrency0.761.49
AcadianMulti Asset Absolute Return3.15-1.13
ADG Capital ManagementADG Systematic Macro0.51-6.27
Aenaon MarketsAenaon Syncro 1x1.266.5
AlessiaAbsolute Return Macro04.66
Allianz Global InvestorsManaged Futures Strategy2.82-2.31
Allianz Global InvestorsManaged Futures Strategy (40-act)-3.13-9.63
Altegris AdvisorsEvolution7.1-13.32
Alternative Capital AdvisorsStrategic Ag Program0.9110.77
Amapa Capital AdvisorsAmapa Investment Program-1.191.61
AmundiAbsolute Return Multi1.955.12
AmundiAbsolute Volatility Euro0.4420.23
AmundiAbsolute Volatility World0.0423.99
AmundiGlobal Macro Bonds0.142.1
AmundiGlobal Macro Bonds Low Vol0.06-2.16
AmundiGlobal Macro Forex0.3-2.89
AQR Capital ManagementAQR Managed Futures3.4-1.15
AQR Capital ManagementAQR Managed Futures HV Strategy4.931.98
AQR Capital ManagementManaged Futures UCITS2.49-3.35
Aspect Capital LimitedAspect Core Trend Fund2.890.16
Aspect Capital LimitedAspect Systematic Global Macro0.914.92
Aspect Capital LimitedDiversified Program6.7-4.48
AXA ChorusSystematic Macro-0.87-3.68
AXA ChorusWorld Funds0.159.95
AXA ChorusWorld Funds Multi Strategy-0.53.94
BerenbergDymacs Volatility Premium0-24.45
BlackrockMacro Opportunities0-1.4
BNP TheamQuant Volatility1.25-17.9
BridgewaterCore Global2.17-3.54
Campbell & CompanyAbsolute Return Portfolio (UCITS)1.61-4.72
Campbell & CompanyCampbell Dynamic Trend Fund0-2.94
Campbell & CompanyManaged Futures3.583.6
Cantab Capital PartnersCCP Core Macro2.95-2.61
Catalyst Capital AdvisorsMulti-Strategy1.24.23
Chesapeake Capital CorporationEquinox Chesapeake Strategy8.916.66
ColumbiaManaged Futures Strategy Fund4.021.21
Conservative Concept AGAthena UI Fund-0.587.29
Crabel Capital MgmtCrabel Advanced Trend7.0819.03
Crabel Capital MgmtCrabel Gemini1.121.16
Crediton HillManaged Account0.54.06
CrossBorder CapitalAR Systematic Macro Strategy0.11-6.14
Diamond Capital ManagementEnhanced S&P Program2.763.27
Dorsey WrightDWA Tactical4.998.86
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS2.72-2.29
Dunn Capital ManagementManaged Futures Strategy (Arrow)7.56-4.41
ecamos Capital AGecamos Core Strategy 2X0-24.59
Equinox Fund ManagementEquinox Ampersand Strategy Fund5.477.34
Equinox Fund ManagementMutualHedge Futures Strategy4.94-15.95
First Quadrant LPFQ Macro FX – 10% Risk-0.4620.42
Fort LPGlobal Contrarian UCITS21.54
Fort LPGlobal Diversified UCITS0.17-10.83
Fort LPGlobal Futures0.92-5.44
Fort LPGlobal Trend UCITS0.791.64
FS InvestmentsManaged Futures2.4610.6
Fulcrum Asset ManagementMulti Asset Trend Fund3.44-7.37
Garraway Capital ManagementGarraway Financial Trends3.52-10.09
Glenhaven CapitalGlenhaven Global II27.3439.63
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl4.276.94
Goldman SachsAlternative Trend3.582.28
Graham Capital Mgmt LPDiversified Macro Fund (JHancook)2.03-2.23
Graham Capital Mgmt LPGraham Macro UCITS1.2710.34
Graham Capital Mgmt LPTactical Trend5.281.05
Gresham Investment ManagementManaged Futures Strat02.12
Guggenheim InvestmentsGuggenheim Managed Futures Strategy2.82.06
GuidePathManaged Futures Strat1.0610.79
HiProb Capital ManagementIII0.469.19
IPM Informed Portfolio ManagementIPM Systematic Macro3.64-2.3
J8 Capital ManagementJ8 Global Absolute Return Strategy4.3211.66
James AlphaMacro3.343.27
JPMorganGlobal Macro1.267.54
Kinkopf Capital ManagementS&P Select Program-0.177.55
LemanikGlobal Strategy0.810.3
LoCorr Fund ManagementLoCorr Macro Strategies3.35.33
LoCorr Fund ManagementLong/Short Commodity Strats2.389.51
Longboard Asset Management LPManaged Futures Strategy6.061.23
LumynaEnhanced Equity Volatility1.28-12.71
LupusAlpha Volatility Invest0.75-5.95
LupusAlpha Volatility Risk1.14-9.21
LyncestisFX Basket0.63-7.4
LyncestisFX Index Arbitrage1.53-7.74
LyncestisFX Quant 110.94-3.83
LyncestisVolatility Trading Program0.998.49
MainfirstContrarian Opportunities-0.15-9.81
Man AHLAHL Diversity Alternative5.220.57
Man AHLAHL Trend Alternative7.571.39
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl5.6610.46
ManulifeAbsolute Return Opportunities0.110.18
Melissinos TradingEupatrid Commodity13.545.52
Metori Capital ManagementEpsilon Global Trend (Lyxor)2.6510.59
Millburn Ridegfield CorporationDiversified Program3.61-10
Mobius Asset MgtCeed Trading Program0.2-3.79
Mobius Asset MgtMCR Trading Program2.8-1.54
Mondiale Asset ManagementLeveraged Trading Proram1.326.08
Neuberger Berman GroupDiversified Currency-0.27-0.45
NNAlternative Beta2.8312.43
Ocean AretoArete Macro (Keplar)1.5410.86
P/E InvestmentsFX Strategy – Standard UCITS-7.67-12.62
PacificG10 macro rates0.079.46
PanAgoraPanAgora Managed Futures Strategy2.74-10.68
Panima Capital ManagementDiversified Futures2.110
PGIM QMAKeynes Systematic1.991.64
PIMCOEm Mkts Ccy and S/T Invsmt (daily)2.52.11
PIMCOTrends Composite4.748.78
Purple Valley CapitalDiversified Trend 151.5198.7
QQFund.comAlpha Beta Program4.3490.36
Quantica Capital AGManaged Futures Program Focus3.522.67
Quest PartnersAlphaQuest (ML Capital)0.8-0.04
Rational AdvisorsRational/ReSolve Adaptive Asset Allc4.93-0.33
Ravinia Investment ManagementAlgorithmic Multi Strategy0.9934.38
Red Rock CapitalCommodity Long-Short3.4912.42
Red Rock CapitalSystematic Global Macro9.647.98
RG Niederhoffer Capital ManagementRGN Smart Alpha-3.98-8.19
RV CapitalAsia Opportunity0.595.64
SalusAlpha Directional Markets-1.486.03
Schot Capital LimitedMulti Diversified Program4.196.83
SEB GroupAsset Selection3.720.7
Superfund Capital ManagementManaged Futures Strategy6.3213.56
Systematica InvestmentsBlueTrend Fund9.4812.63
TagesPaladin-0.836.68
Tendance FinanceNext AM Fund-0.6113.69
Tianyou Asset ManagementTianyou Fund1.91-24.46
Transtrend BVEnhanced Risk7.525.93
Transtrend BVStandard Risk5.263.54
Transtrend BVTulip Trend Fund UCITS5.7-5.22
TresidesTotal Return Commodities1.97-6.96
TRYCON GCMTungsten Trycon Basic0.525.59
UBSCurrency Allocation Return4.02-5.77
UnigestionCross Asset Trend Follower3.6-3.17
United Standard EquitiesSerie A-0.9612.87
Virtus FORT Trend FundVirtus FORT Trend Fund1.22-2.21
Warrington Asset ManagementStrategic1.241.39
WellingtonGlobal Currency Absolute-0.35-1.33
WG Wealth GuardianGVR Program-4.91-25.63
WG Wealth GuardianQT Program1.7159.48
WG Wealth GuardianSAFI2 Program-0.271.32
WG Wealth GuardianStrategic Enhanced Sp5001.8468.38
WG Wealth GuardianStrategic Volatility Master Program-4.51-8.12
WG Wealth GuardianStrategic Volatility Returns Program-1.87-10.29
WG Wealth GuardianTrend Fix Portfolio-0.2126.92
Winton Capital ManagementAbsolute Return Futures2.54-12.47
Winton Capital ManagementWinton Futures Fund4.51-17.35
Winton Capital ManagementWinton Trend Fund5.466.06