Index Update

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.

After a mild Crypto Winter, crypto managers came back with a return of around 11.2%. Throughout this episode we have seen several manager both have deep drawdowns, but also some that have been able to sidestep the carnage completely.

In the near future, we are looking to bring additional indices online, based on an experimental method to isolate skillset of a manager. Stay tuned.

Our main CTA index generated 0.3% for July and has delivered 5.4% YTD. In terms of the man-vs-machine battle, Systematic strategies delivered 0.5% (YTD: 5.6%) while Discretionary traders returned -0.1% (YTD: 4.7%). 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.

Equity Market Neutral Strategies returned 0.2% for July, and have delivered 3.0% YTD. Systematic EMN strategies returned 0.6% (YTD: 4.4%) while Discretionary traders returned -0.1% (YTD: 1.6%). 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.

The strategy that is struggling the most, seems to be Event Driven managers, in particular after AON – Willis Tower Watson merger was abandoned. This seems to have triggered additional uncertainty around merger-arb spreads. Equity Long/Short strategies are enjoying the strong tailwinds from a strong stimulus driven equity market.

Since you have come this far, we have a small favor to ask. We are operating the page as a free resource, to improve transparency. However, we still are incurring costs to operate the database. A small donation will help us to maintain the page.

This text is auto-generated and may contain mistakes. Past performance is not indicative of future results. No financial advice.