For most Hedge Funds, July was a turn-around month. What worked in the first half of 2022, didn’t work particularly well last month and vice versa. We saw the winners for the year, give back parts of their profits and CTAs continued to move sideways, while equity risk driven strategies posted positive returns.
Excluding Crypto Strategies, the NilssonHedge Risk Parity index strategies recorded the largest positive gain with an increase of close to 5%, bringing back the YTD result to a high single digit loss.
Our main CTA index generated -0.4% for July and has delivered 5.1% YTD. In terms of the man-vs-machine battle, Systematic strategies delivered -0.7% (YTD: 6.1%) while Discretionary traders returned 0.4% (YTD: 1.4%).
This is based on a representative sample of CTA managers. We boldly claim that our CTA indices are the broadest performance barometers on the market and offer extraordinary transparency when it comes to capturing the cross-strategy returns from Managed Futures managers.
A closely related cousin to CTAs, Risk Premia strategies generated flat returns and the index is up marginally for the year. Given that this is a strategy that has struggled to generate returns over the last years, a flat return in a risk-off environment is welcomed.
Taking the man-vs-machine battle further, Equity Market Neutral Strategies returned 0.4% for July, and have delivered -0.2% YTD. Systematic EMN strategies returned 0.3% (YTD: -0.5%) while Discretionary traders returned 0.5% (YTD: -0.1%). The result in 2022 is somewhat more mundane than in the prior years.
To view estimates of current performance, our daily indices provide unique insights (https://nilssonhedge.com/index/daily-indices/). These are set of daily hedge fund indices, covering CTAs, Market Neutral, Equity Long/Short, Event Driven and Crypto managers. We typically deliver index estimates on T-1, making them the fastest indicator of hedge fund performance available. These indices help you to form a narrative, understand exposures, benchmark existing managers, and to explain performance to clients.
NilssonHedge provides a set of Hedge Fund performance barometers, ranging from the traditional CTA indices to tracking novel strategies such as Crypto managers. Our indices are transparent and are formed at the beginning of each year, based on managers in the database at that particular point in time. They are not backfilled and gives an indication of the returns from a broad-based basket of Hedge Funds.
We are currently producing 12 monthly different indices (including subindices). Following our prior process, we also launched two Market Neutral subindices in 2021, differentiating between discretionary and systematic strategies. In 2022 we launched a risk parity and a risk premix index. In addition, we have five daily indices. You can find more info about the indices here.
And as a public service announcement, we will be moving our database behind a paywall during this quarter. For current clients, please renew your subscription as they are valid for one full year. Sponsors of this database will continue to retain access. Feel free to reach out to discuss details.