Index Update – Complete 2021

As we now have most of the data for December, we wanted to give you a quick update on the returns for our indices. In general, it looks as if 2021 was a fairly good year for most absolute return strategies (at least measured against cash).

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 give 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 0.5% for December and has delivered 5.4% YTD. In terms of the man-vs-machine battle, Systematic strategies delivered 0.2% (YTD: 4.9%) while Discretionary traders returned 1.4% (YTD: 7.0%). 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.

Discretionary CTAs have particularly benefitted from their focus on Commodities. Markets that have provided unique trading opportunities.

Taking the man-vs-machine battle further, Equity Market Neutral Strategies returned 1.0% for December, and have delivered 4.5% YTD. Systematic EMN strategies returned 1.5% (YTD: 6.6%) while Discretionary traders returned 0.6% (YTD: 2.5%). 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 help you to form a narrative, understand exposures, benchmark existing managers, and explain performance to clients.