We now have sufficient data to present the performance-based rankings for the top-performing strategies in Q1 2022. These rankings are based on unadjusted performance, and even though a particular fund may have the strongest performance it may not be the “best” fund from the perspective of your portfolio.
We use our proprietary performance composites to rank funds, they may contain errors and may not always reflect the official track-record of a particular manager.
While the general CTA tends to be trend-driven, most of the outliers are driven by specific markets or market effects. Q1 2022 has been dominated by commodity markets and a lot of the best (and worst) managers can found in this CTA sub segment.
The dispersion for the best/worst funds are high, but you may learn something about how they and correlated strategies react to different market developments. To the see full CTA list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/cta-rankings/
Market Neutral is one of the least volatile strategies, where returns tend to accumulate over time, rather than printing lumpy returns on the upside or downside. Compared to the last year, Q1 is not dominated by managers with a significant value bias.
Factor performance tends to dominate the average performance, but specific funds can be exposed to specific strategies that are not captured by academic factors. To explore our extensive Market Neutral list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/market-neutral-rankings/
As per common knowledge, half of the returns for Equity Long/Short strategies are driven by the underlying equity markets and as in this quarter, occasionally driven by Macro views.
Performance for the best and worst managers is typically driven by idiosyncratic security-specific situations. To explore our extensive Equity Long/Short list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/equity-long-short-rankings/
Event-Driven managers are commonly exposed to various arbitrage/spread risks related to specialist situations securities. Managers with concentrated exposure tend to end up on this list and exploring the drivers of out or underperformance may yield insights. To explore our extensive Event-Driven list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/event-driven-rankings/
Like Equity Long/Short managers, Fixed Income managers are usually driven by the underlying market conditions. For this list, we typically find managers that are sensitive to a specific subsector, and especially managers that are engaged in the lowest part of the capital structure. To explore our extensive Fixed Income list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/fixed-income-rankings/
Risk Premia managers are commonly implemented well explored and researched systematic strategies. These may be viewed as a general proxy for Hedge Fund exposure. Performance of specific factors may reveal differences and similarities to your own portfolio. To explore our extensive Risk Premia list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/risk-premia-rankings/
As usual Crypto traders are the most volatile managers. Returns tend to be double-digit (or even triple-digit for the best funds), simply due to the volatility of the asset class. To explore our extensive Crypto Strategy list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/crypto-strategy-rankings/
For this group of managers, we have found that survivorship has been particular strong, at least this year and more than a few strategies have closed.
Past performance is not indicate of future results.