Performance Preview – Sep 2021

Performance for Liquid Alternatives seems to be relatively flat for the month of September 2021. The markets have shown some volatility on the back of the Evergrande situation, but ostensible have reached the conclusion that this will not be another Lehman event. In terms of the daily performance indicators we have:

  • CTA +/- 0% for the month, up 5% for the year
  • Crypto Strategies down 4% as of publication time, up 290% for the year (and much of the will depend on how the Chinese situation plays out)
  • Market Neutral down 40bps in September, up 4% for the year
  • Equity Long/Short down 1%, but performance is highly correlated to equity markets, 8% for the year.
  • Event-Driven flat for the last month in the quarter, the strategy is the laggard for the year and is up only 2% for the year.

To view estimates of current performance, our daily indices provides unique insights (https://nilssonhedge.com/index/daily-indices/)

For CTAs, we note that most of them are long Equities, flat Bonds, short the USD, long Energy, flat Precious Metals, and no real exposure to Bitcoins. Equity Long/Short has maintained the same equity market exposure throughout the “V”-shaped correction. Market Neutral managers are experiencing a relatively high correlation to equities (with 0.1 correlation) that may drive short-term results. Event-Driven strategies are the ones that have the lowest implied exposure to equities at the moment.

This was a surprising observation. The indices and correlation indicators are developed using our own proprietary methodology, and Event-Driven strategies have, since the Covid-crisis, never had so little exposure to equities before. We suspect that this has come about due to the volatility in deal spreads that the market is experiencing right now.

The updated Database contains 2485 different managers, representing 4461 different investment strategies. For the current reporting month, 2007 managers have reported returns. For the prior month, we have 2156 live managers. In terms of CTAs, for the current reporting month, 596 CTA programs have reported returns. For the prior month, we have 693 live programs.In total, the database contains 30295 years of manager data. We cover 482 bn of Assets in the Hedge Fund space. Out of which 240 bn of Assets in CTA/Managed Futures managers.

Over the last three calendar months, we have added 151 new strategies to the database.