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/

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/

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/

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/

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/

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/

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/

Past performance is not indicative of future results.