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First Estimates – August 2022

August was a month where we saw markets driven by anticipations and reactions to the Jackson Hole Symposium. At the meeting, the US Federal Reserve reconfirmed its mission to continue to tighten the US monetary policy. As a result of the more hawkish stance than anticipated, equity markets turned negative, fixed income continued to trend down, and the Euro currency traded below parity. Commodity markets generally traded lower and to the frustration of some of the larger discretionary traders, Crude Oil had the audacity to drop around 10% in a few days.

NilssonHedge Indices capture a large number of styles and strategies

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Based on some 1,300 funds reporting returns for August 2022, we note a mixed picture. CTAs generated a small positive gain (~1%), largely driven by systematic managers. Discretionary CTAs, as a group, had negative returns based on a representative sample. Except for Crypto Managers (Risk-off sentiment), and Risk Parity strategies (most asset classes had negative returns), August turned into a pretty flat month for active strategies.

Asset allocation strategies have generally disappointed on the downside whereas Macro/Managed Futures strategies have generally delivered a positive return. Crypto managers are in a deep drawdown, while Equity Long/Short strategies are replicating a ~0.5 beta exposure to equities.

The NilssonHedge CTA index recovered the losses it suffered during May-July

CTAs faired reasonably well, and based on some 200 managers that we have captured it looks like a solid month, recovering the micro-drawdown suffered in Q2. Currencies and Fixed Income did likely contribute to gains throughout the month. We have observed significant dispersion as the result for August looks to be determined by your trading horizon. Longer term managers should have done better than shorter term managers.

The NilssonHedge Risk Premia Index keeping up better than expected

A strategy that is not currently getting much attention is Risk Premia. Given how poorly this strategy has fared in earlier volatility expansions, the flat to a modestly positive result is encouraging. In particular, Commodity, Trend, and Value have done well. Moreover, we have avoided a significant volatility expansion which has avoided some of the losses that are associated with equity volatility risk premia (i.e. naked short equity options).

Overview of Reporting Managers Month-to-Date

Database overview, including graveyard:

  • Number of CTA Strategies: 2655
  • Number of Equity Long Short Strategies: 386
  • Number of Market Neutral Strategies: 121
  • Number of Event Driven Strategies: 69
  • Number of Fixed Income Strategies: 185
  • Number of Crypto Strategies: 812
  • Number of Asset Allocation Strategies: 184
  • Number of Risk Premia Strategies: 66

During September, we will be moving selective parts of the website behind a login. To view certain parts of the website you are now required to create your account. As previously announced the database will no longer be free as of the end of this quarter.