Hedge Fund Performance Preview – July 2021

July was a month with large dips and volatility in risky assets, triggering a sharp reversal and an equally strong recovery in for instance equity markets. Ultimately the equity market ended up higher and we expect that most of the hedge fund strategies that we track will print positive numbers for July. The exception is the event-driven managers where some traders may have suffered from the Aon-Willis break-up. A merger that was ultimately abandoned after the US Justice Department voiced criticism. The liquid Event-Driven managers that we are tracking, are now almost flat for the year (+1%).

NilssonHedge Hedge Fund Indices
NilssonHedge Indices

CTAs is more likely to be flattish to slightly positive, in a month than was characterized as a buy-the-dip month, where global trends ultimately kept going. Placement of stops and trading horizon will be critical as well your allocation to non-commodity markets. The mid-month Delta variant induced sell-off was one of those V-shaped reversals where trend managers typically face difficult trading conditions.

NilssonHedge CTA Index, July returns are likely flat.
NilssonHedge CTA Index

On the other hand, after two and half disastrous months for Crypto Traders, there is finally some light in the tunnel and the index seems to have printed positive numbers (preliminary around 10%). July’s crypto market was driven by a number of sharp reversals, false rumors, and head-fakes. In particular, the rumor that Amazon was about to start accepting digital assets as payment for the services created what looks like a massive short-squeeze.

NilssonHedge Crypto Index, positive in July 2021.
NilssonHedge Crypto Index

As usual, the data is updated and the Database now contains 2404 different managers, representing 4342 different investment strategies. For the current reporting month, 1798 managers have reported returns. For the prior month, we have 2057 live managers. In terms of CTAs, for the current reporting month, 493 CTA programs have reported returns. For the prior month, we have 658 live programs. In total, the database contains 29774 years of manager data. We cover 378 bn of Assets in the Hedge Fund space. Out of which 181 bn of Assets in CTA/Managed Futures managers. Over the last three calendar months, we have added 686 new strategies to the database.

To view estimates of current performance, our daily indices provide unique insights (https://nilssonhedge.com/index/daily-indices/). We will publish a flash estimate of manager performance in the first few days of August.