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1st Database Update – July 2022

Throughout July, we witnessed a minor giveback of profits for CTAs as markets went back into a risk-on mode. Based on early reporting, most other strategies seems to have delivered positive returns for July. For 2022 CTA, Risk Premia, and Market Neutral are the only groups of managers that are reporting positive year-to-date numbers (on average).

Crypto Managers staggered an impressive comeback with a 22% return in July, but the strategy index is still down 50%+ for the year and more than a 100% return is required to get back to prior highs. Crypto managers looks to have divergent views on how much cash to deploy. We are still witnessing elevated levels of Stable Coin allocations. But also healthy interest from allocators to this volatile space.

NilssonHedge Crypto Index (monthly)

For CTAs, we do not yet have the full picture, but the dispersion of returns seems to have increased in July, where the range of outcomes increased compared to the most recent months. Noteworthy is the skewed distribution in for instance March 2022 (and March 2019) where the skew is apparent. In those months, managers that are doing well, are doing really well. This is not something that we are seeing for other strategies.

CTA Dispersion (monthly)

In terms of sub-strategies, Trend Following is the strategy that has worked out the best for the CTA industry. In essence, this is most likely a good thing for larger managers, as that is where the bulk of the assets are allocated to. The Median Trend Following managers, have generally done better than the top quartile CTA in most other sub-strategies.

CTA Strategy Dispersion

To dive deeper into the database, one the of the larger hedge fund database available, we urge you to explore our database (or download if you have existing subscription).

Manager Reporting to date