Going into the end of the third quarter, there is precious little time left in 2002 for several strategies to deliver positive performance for their clients. The main group that has delivered positive returns are CTAs, dominated by the stellar performance of Trend Following managers. The future direction of the equity markets will determine the fate of many funds.
Our main CTA index generated 1.0% for August and has delivered 5.9% YTD. In terms of the man-vs-machine battle, Systematic strategies delivered 1.4% (YTD: 7.6%) while Discretionary Futures traders returned -0.4% (YTD: 0.3%). This is based on close to 300 managers reporting data.
Here we note that Systematic managers have overtaken their judgemental peers. The recent FOMC activities and the twist and turns in Commodity markets have caused negative performance for Discretionary Futures traders.
This return above is based on a representative sample of CTA managers. We claim that our CTA indices are the broadest performance barometers on the markets and offer extraordinary transparency when it comes to capturing the broader returns from Managed Futures managers. We make the casual observation that this is not only representative of Trend Following strategies, but a much broader strategy set.
The largest negative returns can be found for Fixed Income strategies and the semi-alternative strategy Risk Parity that are having outsized negative returns. Our recently launched Risk Parity strategy is showing a double-digit loss on the back of both bad equity and fixed income returns. For Risk Parity managers we have seen reduced investor allocation in the last few months.
Taking the man-vs-machine battle further, Equity Market Neutral Strategies returned -0.1% for August, and have delivered -0.3% YTD. Systematic EMN strategies returned -0.3% (YTD: -0.7%) while Discretionary traders returned -0.0% (YTD: -0.1%). Given that most of these managers are UCITS managers, we are confident about the returns. EMN strategies are still striving to make a comeback from the difficult conditions in 2019/2020.
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 indicate 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 addition, we have five daily indices. You can find more info about the indices here.
To view estimates of current performance, our daily indices provide unique insights (https://nilssonhedge.com/index/daily-indices/). These are a 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 explain performance to clients.
NilssonHedge will be moving to a subscription model at the end of the quarter for our Databases and will require registration for several parts of the site.
You must log in to post a comment.