Performance Preview – March 2021

As March is drawing to a close, using the NilssonHedge Daily Indices, we can now give an indication of the likely performance of several strategies. Crypto Strategies are the likely winner for the month (but given volatility this could easily change) with indicative results of +8% for March. Given the extraordinary volatility of Digital Assets, this strategy is likely to either be the top or the worst performing strategy any given month.

Equity Market Neutral strategies have been on a tear and are up 2.4% for the month. Value and factor rotations have continued to positively impact that strategy. Equity L/S (+1.8%) and Event-Driven (+0.3%) continued to enjoy equity market strength.

CTAs did initially have a good month, but a fair share of the performance was given back as the dollar strengthened, Crude Oil sold off, and Fixed Income markets bounced back (slightly). All of our indices are positive for the year.

For Social Media users that would like to get an indication of Daily Hedge Fund Performance, we post daily updates of the daily indices to our dedicated automated Twitter account: https://twitter.com/IndexHedge.

The Database contains 2131 different managers, representing 3933 different investment strategies. For the current reporting month, 1675 managers have reported returns. For the prior month, we have 1832 live managers. In terms of CTAs, for the current reporting month, 600 CTA programs have reported returns. For the prior month, we have 707 live programs.In total, the database contains 27457 years of manager data. We cover 402 bn of Assets in the Hedge Fund space. Out of which 206 bn of Assets in CTA/Managed Futures managers.

Over the last three calendar months, we have added 285 new strategies to the database.

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