NilssonHedge provides a set of Hedge Fund performance barometers, ranging from the traditional CTA indices to tracking novel strategies such as Crypto managers. Our indices are transparent and are formed at the beginning of each year, based on managers in the database at that particular point in time. They are not backfilled and gives an indication of the returns from a broad-based basket of Hedge Funds. We are currently producing 12 monthly different indices (including subindices). Following our prior process, we also launched two Market Neutral subindices in 2021, differentiating between discretionary and systematic strategies. In addition, we have five daily indices. You can find more info about the indices here.
Our main CTA index generated -0.1% for June and has delivered 5.1% YTD. In terms of the man-vs-machine battle, Systematic strategies delivered -0.3% (YTD: 5.0%) while Discretionary traders returned 0.9% (YTD: 5.3%). This is based on a representative sample of CTA managers. We claim that our CTA indices are the broadest performance barometers on the markets and offer extraordinary transparency when it comes to capturing the broader returns from Managed Futures managers. From the look of it, it seems as if systematic/trend following CTAs have entered correction territory, after a long and good run from Q4/Q1/Q2. Should inflation expectation correct even further, we expect CTAs to take further pain as reflation positions are unwound.
Taking the man-vs-machine battle further, Equity Market Neutral Strategies returned -0.0% for June, and have delivered 2.8% YTD. Systematic EMN strategies returned -0.2% (YTD: 3.8%) while Discretionary traders returned 0.1% (YTD: 1.7%). Given that most of these managers are UCITS managers, we are confident about the returns. EMN strategies are still striving to make a comeback from the difficult conditions in 2019/2020.
To view estimates of current performance, our daily indices provide unique insights (https://nilssonhedge.com/index/daily-indices/). These are set of daily hedge fund indices, covering CTAs, Market Neutral, Equity Long/Short, Event Driven and Crypto managers. We typically deliver index estimates on T-1, making them the fastest indicator of hedge fund performance available. These indices helps you to form a narrative, understand exposures, benchmark existing managers, and to explain performance to clients. To follow this in real time, please check out our automated twitter account: https://twitter.com/IndexHedge
This text is auto-generated and may contain mistakes. Past performance is not indicative of future results. NilssonHedge is a free resource, but we would appreciate a small donation that will be used to maintain the site.
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