Having collected some 1800+ strategy returns from the public domain, we can now present the best and worst performing strategies. In a month where equity markets bounced back, this was something of a turnaround month for many strategies.
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.
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While the general CTA tends to be trend-driven, most of the outliers are driven by specific markets or market effects. 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. Strategies that did well this month, tends to have an implicit long equity bias.
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. 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/.
This was largely a strong month for equity long/short strategies as marked bounced back. Half of the returns for Equity Long/Short strategies are driven by the underlying equity markets. 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/
Crypto managers bounced back due to the strong performance of HODL strategies. 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/
We will be moving to a paid database model at the end of Q3. The efforts to maintain the database and to further develop the website are considerable and are fairly costly.
Past performance is not indicative of future results. This communication is subject to our terms and conditions and is directed towards qualified and/or professional investors.
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