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

Manager	Program	LastMonth	YTD
361 Capital	361 Global Managed Futures Strategy Fund	0.83	-5.48
361 Capital	361 Managed Futures Strategy Fund	0.39	-13.76
Abbey Capital	Abbey Capital Futures Strategy	3.15	7.44
Absolute Insight	Currency	0.76	1.49
Acadian	Multi Asset Absolute Return	3.15	-1.13
ADG Capital Management	ADG Systematic Macro	0.51	-6.27
Aenaon Markets	Aenaon Syncro 1x	1.26	6.5
Alessia	Absolute Return Macro	0	4.66
Allianz Global Investors	Managed Futures Strategy	2.82	-2.31
Allianz Global Investors	Managed Futures Strategy (40-act)	-3.13	-9.63
Altegris Advisors	Evolution	7.1	-13.32
Alternative Capital Advisors	Strategic Ag Program	0.91	10.77
Amapa Capital Advisors	Amapa Investment Program	-1.19	1.61
Amundi	Absolute Return Multi	1.95	5.12
Amundi	Absolute Volatility Euro	0.44	20.23
Amundi	Absolute Volatility World	0.04	23.99
Amundi	Global Macro Bonds	0.14	2.1
Amundi	Global Macro Bonds Low Vol	0.06	-2.16
Amundi	Global Macro Forex	0.3	-2.89
AQR Capital Management	AQR Managed Futures	3.4	-1.15
AQR Capital Management	AQR Managed Futures HV Strategy	4.93	1.98
AQR Capital Management	Managed Futures UCITS	2.49	-3.35
Aspect Capital Limited	Aspect Core Trend Fund	2.89	0.16
Aspect Capital Limited	Aspect Systematic Global Macro	0.91	4.92
Aspect Capital Limited	Diversified Program	6.7	-4.48
AXA Chorus	Systematic Macro	-0.87	-3.68
AXA Chorus	World Funds	0.15	9.95
AXA Chorus	World Funds Multi Strategy	-0.5	3.94
Berenberg	Dymacs Volatility Premium	0	-24.45
Blackrock	Macro Opportunities	0	-1.4
BNP Theam	Quant Volatility	1.25	-17.9
Bridgewater	Core Global	2.17	-3.54
Campbell & Company	Absolute Return Portfolio (UCITS)	1.61	-4.72
Campbell & Company	Campbell Dynamic Trend Fund	0	-2.94
Campbell & Company	Managed Futures	3.58	3.6
Cantab Capital Partners	CCP Core Macro	2.95	-2.61
Catalyst Capital Advisors	Multi-Strategy	1.2	4.23
Chesapeake Capital Corporation	Equinox Chesapeake Strategy	8.91	6.66
Columbia	Managed Futures Strategy Fund	4.02	1.21
Conservative Concept AG	Athena UI Fund	-0.58	7.29
Crabel Capital Mgmt	Crabel Advanced Trend	7.08	19.03
Crabel Capital Mgmt	Crabel Gemini	1.12	1.16
Crediton Hill	Managed Account	0.5	4.06
CrossBorder Capital	AR Systematic Macro Strategy	0.11	-6.14
Diamond Capital Management	Enhanced S&P Program	2.76	3.27
Dorsey Wright	DWA Tactical	4.99	8.86
Dunn Capital Management	DUNN WMA Institutional (ML Capital) UCITS	2.72	-2.29
Dunn Capital Management	Managed Futures Strategy (Arrow)	7.56	-4.41
ecamos Capital AG	ecamos Core Strategy 2X	0	-24.59
Equinox Fund Management	Equinox Ampersand Strategy Fund	5.47	7.34
Equinox Fund Management	MutualHedge Futures Strategy	4.94	-15.95
First Quadrant LP	FQ Macro FX - 10% Risk	-0.46	20.42
Fort LP	Global Contrarian UCITS	2	1.54
Fort LP	Global Diversified UCITS	0.17	-10.83
Fort LP	Global Futures	0.92	-5.44
Fort LP	Global Trend UCITS	0.79	1.64
FS Investments	Managed Futures	2.46	10.6
Fulcrum Asset Management	Multi Asset Trend Fund	3.44	-7.37
Garraway Capital Management	Garraway Financial Trends	3.52	-10.09
Glenhaven Capital	Glenhaven Global II	27.34	39.63
Goldman Sach Management	Goldman Sachs Mngd Futures Strat Instl	4.27	6.94
Goldman Sachs	Alternative Trend	3.58	2.28
Graham Capital Mgmt LP	Diversified Macro Fund (JHancook)	2.03	-2.23
Graham Capital Mgmt LP	Graham Macro UCITS	1.27	10.34
Graham Capital Mgmt LP	Tactical Trend	5.28	1.05
Gresham Investment Management	Managed Futures Strat	0	2.12
Guggenheim Investments	Guggenheim Managed Futures Strategy	2.8	2.06
GuidePath	Managed Futures Strat	1.06	10.79
HiProb Capital Management	III	0.46	9.19
IPM Informed Portfolio Management	IPM Systematic Macro	3.64	-2.3
J8 Capital Management	J8 Global Absolute Return Strategy	4.32	11.66
James Alpha	Macro	3.34	3.27
JPMorgan	Global Macro	1.26	7.54
Kinkopf Capital Management	S&P Select Program	-0.17	7.55
Lemanik	Global Strategy	0.8	10.3
LoCorr Fund Management	LoCorr Macro Strategies	3.3	5.33
LoCorr Fund Management	Long/Short Commodity Strats	2.38	9.51
Longboard Asset Management LP	Managed Futures Strategy	6.06	1.23
Lumyna	Enhanced Equity Volatility	1.28	-12.71
Lupus	Alpha Volatility Invest	0.75	-5.95
Lupus	Alpha Volatility Risk	1.14	-9.21
Lyncestis	FX Basket	0.63	-7.4
Lyncestis	FX Index Arbitrage	1.53	-7.74
Lyncestis	FX Quant 11	0.94	-3.83
Lyncestis	Volatility Trading Program	0.99	8.49
Mainfirst	Contrarian Opportunities	-0.15	-9.81
Man AHL	AHL Diversity Alternative	5.22	0.57
Man AHL	AHL Trend Alternative	7.57	1.39
Man AHL	American Beacon AHL Mgd Futs Strat Instl	5.66	10.46
Manulife	Absolute Return Opportunities	0.11	0.18
Melissinos Trading	Eupatrid Commodity	13.54	5.52
Metori Capital Management	Epsilon Global Trend (Lyxor)	2.65	10.59
Millburn Ridegfield Corporation	Diversified Program	3.61	-10
Mobius Asset Mgt	Ceed Trading Program	0.2	-3.79
Mobius Asset Mgt	MCR Trading Program	2.8	-1.54
Mondiale Asset Management	Leveraged Trading Proram	1.3	26.08
Neuberger Berman Group	Diversified Currency	-0.27	-0.45
NN	Alternative Beta	2.83	12.43
Ocean Areto	Arete Macro (Keplar)	1.54	10.86
P/E Investments	FX Strategy - Standard UCITS	-7.67	-12.62
Pacific	G10 macro rates	0.07	9.46
PanAgora	PanAgora Managed Futures Strategy	2.74	-10.68
Panima Capital Management	Diversified Futures	2.1	10
PGIM QMA	Keynes Systematic	1.99	1.64
PIMCO	Em Mkts Ccy and S/T Invsmt (daily)	2.5	2.11
PIMCO	Trends Composite	4.74	8.78
Purple Valley Capital	Diversified Trend 1	51.5	198.7
QQFund.com	Alpha Beta Program	4.34	90.36
Quantica Capital AG	Managed Futures Program Focus	3.52	2.67
Quest Partners	AlphaQuest (ML Capital)	0.8	-0.04
Rational Advisors	Rational/ReSolve Adaptive Asset Allc	4.93	-0.33
Ravinia Investment Management	Algorithmic Multi Strategy	0.99	34.38
Red Rock Capital	Commodity Long-Short	3.49	12.42
Red Rock Capital	Systematic Global Macro	9.64	7.98
RG Niederhoffer Capital Management	RGN Smart Alpha	-3.98	-8.19
RV Capital	Asia Opportunity	0.59	5.64
Salus	Alpha Directional Markets	-1.48	6.03
Schot Capital Limited	Multi Diversified Program	4.19	6.83
SEB Group	Asset Selection	3.72	0.7
Superfund Capital Management	Managed Futures Strategy	6.32	13.56
Systematica Investments	BlueTrend Fund	9.48	12.63
Tages	Paladin	-0.83	6.68
Tendance Finance	Next AM Fund	-0.61	13.69
Tianyou Asset Management	Tianyou Fund	1.91	-24.46
Transtrend BV	Enhanced Risk	7.52	5.93
Transtrend BV	Standard Risk	5.26	3.54
Transtrend BV	Tulip Trend Fund UCITS	5.7	-5.22
Tresides	Total Return Commodities	1.97	-6.96
TRYCON GCM	Tungsten Trycon Basic	0.52	5.59
UBS	Currency Allocation Return	4.02	-5.77
Unigestion	Cross Asset Trend Follower	3.6	-3.17
United Standard Equities	Serie A	-0.96	12.87
Virtus FORT Trend Fund	Virtus FORT Trend Fund	1.22	-2.21
Warrington Asset Management	Strategic	1.24	1.39
Wellington	Global Currency Absolute	-0.35	-1.33
WG Wealth Guardian	GVR Program	-4.91	-25.63
WG Wealth Guardian	QT Program	1.71	59.48
WG Wealth Guardian	SAFI2 Program	-0.27	1.32
WG Wealth Guardian	Strategic Enhanced Sp500	1.84	68.38
WG Wealth Guardian	Strategic Volatility Master Program	-4.51	-8.12
WG Wealth Guardian	Strategic Volatility Returns Program	-1.87	-10.29
WG Wealth Guardian	Trend Fix Portfolio	-0.21	26.92
Winton Capital Management	Absolute Return Futures	2.54	-12.47
Winton Capital Management	Winton Futures Fund	4.51	-17.35
Winton Capital Management	Winton Trend Fund	5.46	6.06