Skip to content

Best & Worst May 2022

Defining the best and worst fund is obviously more complicated than simply looking at returns, that said, returns still carry some information. Here we highlight the best and worst-performing hedge funds that we have in our database, solely based on realized absolute return.

Over the next few months, we will explore ways to make this report clearer and easier to read.

Based on the latest available return data, we can present the best and worst strategies per category, both on a monthly and on a yearly basis. This is calculated from our proprietary composite data streams but may contain errors. These are not filtered for Asset Under Management and are ranked on a simple return metric without adjusting for volatility. We only rank funds that have reported returns for the current reporting month.

CTA

While the general CTA tends to be trend-driven, most of the outliers are driven by specific markets or market effects. In terms of finding a unique style that would have guaranteed to take you to the top position, Trend Following might be one, but discretionary NatGas traders have had a remarkable run.

The dispersion for the best/worst funds is 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/


Skylar Capital Management : Natural Gas And Power  :  18.16% [530.02]<br> Rosetta Analytics : Rosetta DL One  :  15.75% [1.38]<br> Algo Capital : NC3816  :  15.09% [6.02]<br> The Great O'Neill : Great O'Neill  :  14.56% [1.00]<br> Algo Capital : Energy  :  14.29% [13.51]<br> Moddco Capital Associates : MCA  :  14.19% [0.14]<br> Agile Investment Management : Senti-Wave 'V'  :  13.38% [0.90]<br> Covenant Capital Management : Total Volatility Program  :  10.28% [3.27]<br> QDRA Pty : Dynamic Macro  :  9.53% [8.77]<br> SpreadEdge Capital : Diversified Seasonal Spread  :  9.42% [1.67]<br> Algocentric Capital : Algo III Trading Prog  :  -8.83% [0.05]<br> AG Capital Investments : Discretionary Global Macro  :  -8.98% [106.00]<br> WG Wealth Guardian : QT Program  :  -9.21% [1.50]<br> Evergreen Commodity Advisors : Discretionary Energy Strategy  :  -10.25% [13.17]<br> Leibniz Group : Commo  :  -10.32% [1.00]<br> Rotella Capital Management : QDeck Micro Commodity  :  -10.47% [0.00]<br> Rotella Capital Management : Qdeck Micro Commodity Program  :  -10.47% [0.00]<br> Red Rock Capital : Trend Dynamics Program  :  -10.79% [0.31]<br> QTS Capital Management : Tail Reaper  :  -14.98% [13.26]<br> FX NOR AS : Global Makro  :  -15.82% [0.00]<br> >

Skylar Capital Management : Natural Gas And Power  :  18.16% [530.02]<br> Mulvaney Capital Management : Global Diversified Program  :  -2.20% [209.00]<br> Quantitative Investment Management : Global Program 3x  :  2.91% [135.00]<br> AIS Capital Management : MAAP 3-6X  :  0.64% [78.35]<br> RCMA Capital : Merchant Commodity Fund  :  1.70% [450.00]<br> Algocentric Capital : Algo II Trading Prog  :  7.51% [0.20]<br> Dunn Capital Management : D'Best Futures Fund L.P.  :  -1.11% [72.00]<br> Transtrend BV : Tulip Trend Fund  :  -4.09% [159.03]<br> Algo Capital : Energy  :  14.29% [13.51]<br> ROW Asset Management : Diversified 2X  :  1.24% [539.00]<br> Sizemore Capital Management : Blue Orbit Capital  :  0.24% [9.10]<br> QQFund.com : Alpha Beta Program  :  -0.16% [21.57]<br> ecamos Capital AG : ecamos Volatility Strategy 2X  :  -0.25% [54.50]<br> 120 Capital Management : Quantamental Global Macro Program  :  -0.90% [10.00]<br> t24 Capital : Global Macro  :  -6.26% [1.40]<br> t24 Capital : TCM Global Index Fund  :  -6.26% [25.53]<br> Covenant Capital Management : Hedged Equity  :  -2.91% [4.72]<br> Vivienne Investissement : MACH 3  :  -6.91% [20.56]<br> Algocentric Capital : $100000 Program  :  4.04% [0.30]<br> ABR : Enhanced Short Volatility  :  -4.93% [9.64]<br> >

Market Neutral

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. Factor performance tends to dominate the average performance, but specific funds can be exposed to specific strategies that are not captured by academic factors. The comeback for AQR is remarkable and they have been able to capitalize on strong factor returns.

To explore our extensive Market Neutral list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/market-neutral-rankings/


Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Equity Long/Short

As per common knowledge, half of the returns for Equity Long/Short strategies are driven by the underlying equity markets. While there has been plenty of news about the implosion of Tiger Management, there is a handful of strongly performing ELS managers, all is not lost.

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/


Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Event Driven

Event-Driven managers are commonly exposed to various arbitrage/spread risks related to specialist situations securities. A long-term favorite amongst allocator, this year, the strategy is struggling to deliver attractive returns, on the back of increased volatility and spread expansions.

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/


Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Fixed Income

Like Equity Long/Short managers, Fixed Income managers are usually driven by the underlying market conditions. As we know, fixed income conditions have been rather poor, so managers that are able to extract Alpha from this segment has done a remarkably good job.

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/


Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Not Reported : Dummy Variable  :  1.00% [0.00]<br> Not Reported : Dummy Variable  :  -1.00% [0.00]<br> >

Risk Premia

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. Risk Premia strategies have potentially avoided the short volatility trap and allocator more to Trend and Value drivers. As mentioned above, AQR is taking the top three positions in this category. We suspect that they are not long “growth”.

To explore our extensive Risk Premia list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/risk-premia-rankings/


AQR Capital Management : Style Premia Alternative  :  9.98% [0.00]<br> AQR Capital Management : Style Premia  :  7.55% [432.33]<br> AQR Capital Management : Alternative Risk Premia  :  5.67% [0.00]<br> Nomura : Fixed Income Risk Premia  :  3.70% [1.23]<br> Franklin K2 : Athena Risk  :  2.63% [17.85]<br> Lumyna : Merrill Lynch MCLX  :  2.36% [293.60]<br> Allianz Global Investors : Multi Asset Risk Premia  :  1.64% [60.27]<br> Systematica Investments : Alternative Risk Premia  :  1.43% [142.60]<br> Mount Lucas Management Corporation : AlphaCentric Symmetry Strategy  :  1.37% [0.00]<br> LGT Capital Partners : LGT Alpha Generix  :  1.11% [38.25]<br> BNP Theam : Absolute Alpha  :  -0.56% [1.09]<br> Capital Fund Management : Diversified  :  -0.63% [77.68]<br> Allington : Liquid Alternatives Portfolio  :  -0.83% [22.23]<br> Dynamic Beta Investments : Liquid Alternative (SEI)  :  -1.09% [400.88]<br> Fortem Capital : Alternative Growth  :  -1.60% [68.01]<br> Nordea Asset Management : Nordea 1  Alpha 7 MA Fund  :  -1.67% [685.20]<br> BNP Theam : Quant Equity  :  -1.73% [53.47]<br> Catalyst Funds : Systematic Alpha  :  -2.04% [0.00]<br> Nordea Asset Management : Nordea 1  Alpha 10 MA Fund  :  -2.36% [6132.00]<br> Nordea Asset Management : Nordea 1  Alpha 15 MA Fund  :  -3.54% [5559.60]<br> >

AQR Capital Management : Style Premia Alternative  :  9.98% [0.00]<br> AQR Capital Management : Style Premia  :  7.55% [432.33]<br> AQR Capital Management : Alternative Risk Premia  :  5.67% [0.00]<br> Nomura : Fixed Income Risk Premia  :  3.70% [1.23]<br> Mount Lucas Management Corporation : AlphaCentric Symmetry Strategy  :  1.37% [0.00]<br> Franklin K2 : Athena Risk  :  2.63% [17.85]<br> Allspring : Alternative Risk  :  0.67% [0.00]<br> Schroders : Isf Alternative Risk  :  0.25% [543.98]<br> GAM International Management : GAM Systematic Alternative Risk Premia  :  0.14% [652.11]<br> Allspring : Alternative Risk Premia  :  -0.12% [26.33]<br> Goldman Sachs Management : Alternative Premia  :  0.00% [0.00]<br> BNP Theam : Absolute Alpha  :  -0.56% [1.09]<br> Allianz Global Investors : Volatility Strategy  :  -0.06% [894.42]<br> Credit Suisse Asset Management : Liquid Alternative  :  -0.35% [734.76]<br> Nordea Asset Management : Nordea 1  Alpha 7 MA Fund  :  -1.67% [685.20]<br> Nordea Asset Management : Nordea 1  Alpha 10 MA Fund  :  -2.36% [6132.00]<br> Neuberger Berman : US Equity Put Write  :  0.71% [468.55]<br> Estlander & Partners : Glacies  :  -0.45% [25.19]<br> Nordea Asset Management : Nordea 1  Alpha 15 MA Fund  :  -3.54% [5559.60]<br> Catalyst Funds : Systematic Alpha  :  -2.04% [0.00]<br> >

Crypto

As usual Crypto traders are the wildest bunch on the street. Returns tend to be double-digit (or even triple-digit for the best funds), simply due to the asset class’s volatility. We have a number of traders that have been completely obliterated, but on the other hand, a number of more market-neutral strategies have been able to withstand the volatility of the new Crypto Winter.

To explore our extensive Crypto Strategy list, with dynamic rankings, please see https://nilssonhedge.com/reports/nilsson-report/crypto-strategy-rankings/


GSC Asset : Crisis Alpha  :  25.60% [1.40]<br> Coincident Capital : Coincident  :  20.80% [300.00]<br> Capital PLUS ULTRA Capital : SEMPERINVEST PLUS ULTRA  :  11.61% [0.00]<br> Anchor Index Top 10 : ANCHORINDEXTOP10  :  10.94% [0.00]<br> Superfund Capital Management : Superfund Crypto Long/Short  :  9.84% [7.74]<br> Quality Crypto Investments : NOPROB  :  9.69% [0.00]<br> Pythagoras Management Company : Crypto Token  :  7.90% [15.23]<br> Crypto Fund AG : Systematic DLT Fund  :  6.53% [13.25]<br> Cambrian Asset Management : Systematic Strategies  :  3.70% [263.00]<br> Future Power  Fund : FUTUREPOWERFUND  :  3.59% [0.00]<br> Elevation U2boy : ELEVATION  :  -96.26% [0.00]<br> Princess : BOSTI22  :  -96.27% [0.00]<br> Vortex Swing : VORTEXSWING  :  -96.83% [0.00]<br> PLANE Trend : PLANETRENDING  :  -97.35% [0.00]<br> Hyperboom Portfolio : BLOCKCHAININVESTMENT  :  -98.32% [0.00]<br> Powercoin Borut Kramar : POWERCOIN  :  -98.52% [0.00]<br> Terra Luna Moon Mission : CASVOVTRADING  :  -98.58% [0.00]<br> Luna Moon Man : MONDSCHEIN  :  -98.58% [0.00]<br> AI Growth 2020 : AI Growth 2020  :  -99.52% [0.00]<br> Metelkova : METELKOVA Metelkova Crypto Underground  :  -99.73% [0.00]<br> >

GSC Asset : Crisis Alpha  :  25.60% [1.40]<br> BluecodeCapital : BLUECODETRADING  :  -0.09% [0.00]<br> Valuenomics : VALUENOMICS  :  -3.41% [0.00]<br> Pythagoras Management Company : Crypto Token  :  7.90% [15.23]<br> Best Perform Crypto : BESTPERFORMLAST7D  :  -6.34% [0.00]<br> Superfund Capital Management : Superfund Crypto Long/Short  :  9.84% [7.74]<br> Pythagoras Management Company : Arbitrage  :  3.30% [86.00]<br> Icoinic Capital : Delta Neutral Fund  :  -0.50% [0.00]<br> Digital Gold Crypto : DIGITALGOLD  :  -1.95% [0.00]<br> Ethereal Capital : Ethereal Capital DeFI Index  :  -0.43% [0.00]<br> Elevation U2boy : ELEVATION  :  -96.26% [0.00]<br> Princess : BOSTI22  :  -96.27% [0.00]<br> Hyperboom Portfolio : BLOCKCHAININVESTMENT  :  -98.32% [0.00]<br> Powercoin Borut Kramar : POWERCOIN  :  -98.52% [0.00]<br> PLANE Trend : PLANETRENDING  :  -97.35% [0.00]<br> Terra Luna Moon Mission : CASVOVTRADING  :  -98.58% [0.00]<br> Vortex Swing : VORTEXSWING  :  -96.83% [0.00]<br> Luna Moon Man : MONDSCHEIN  :  -98.58% [0.00]<br> AI Growth 2020 : AI Growth 2020  :  -99.52% [0.00]<br> Metelkova : METELKOVA Metelkova Crypto Underground  :  -99.73% [0.00]<br> >

Past performance is not indicative of future results.

%d bloggers like this: