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Hedge Fund Performance Review Jan 2022

The year started with volatile equity markets (Global Indices down approximately 5%), with growth stock selling off aggressively. As macro risks increased, in terms of increased geopolitical tension increased, a more hawkish stance from the FED and ECB, and inflation measures that no longer can be characterized as transitory.

Hedge funds suffered, and based on preliminary performance, only one group of managers managed to have positive returns. CTAs delivered a profitable month, not enough to offset equity losses elsewhere, but certainly in the right direction. Market Neutral managers were close to delivering positive returns, and in particular, we noted that systematic value-biased managers are offering strong tail-risk protection. CTAs have continued to do well into February.

Our Daily CTA index, which consists of more trend-based managers (+1.7%) outperformed the preliminary result from managers where we only have monthly data (+0.6). Pure Commodity managers continued to do well and led the CTA pack. To learn more about CTA exposures and indicative positing, have a look at J8 CTA Index, and our Correlation estimates.

The darlings of last year, Crypto Managers, took a blow and lost close to 30%.

Average performance elsewhere was not disastrous, with a few well-known exceptions, such as Melvin Capital, Whale Rock, and Tiger Global which both lost around 15%. Macro traders generated positive returns in general. Growth-focused momentum managers did not have an easy time with the poster child of aggressive growth managers, ARK Innovation losing around 25% in January.

For managers that we capture, can recommend the NilssonReport.

In other news, we are working with AlphaWeek and AlphaBot to pick the winners of the inaugural Tactical Trading awards.

We are also sorting through the index constituents for all of our indices and updating the information we publish on our website. And we have launched two indices, one covering Risk Premia strategies and the other one showing the performance of Risk Parity portfolios. Throughout February, we will be launching a few additional specialized indices.

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