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Index Update October 2022

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. If you would like to be included in the indices for 2023, please make sure we have your December data no later than Jan 31st, 2023.

They are not backfilled and give an indication of the returns from a broad-based basket of Hedge Funds. We are currently producing 14 monthly different indices (including subindices). We launched a Risk Parity and a Risk Premia index in 2022. We are planning to launch additional CTA sub-indices (Trend Following, Fundamental, Short Term) in 2023 and potentially a Crypto Market Neutral if the space survives.

You can find more info about the indices here.

Monthly Hedge Fund Index Returns
Monthly Indices (returns will continuously update as we receive additional estimates)

Our main CTA index generated 0.1% for October and has delivered 7.0% YTD. In terms of the man-vs-machine battle, Systematic strategies delivered 0.1% (YTD: 9.2%) while Discretionary traders returned 0.1% (YTD: -0.2%). The main exception is on the Commodity side, a diversified set of (mainly) discretionary traders that has produced 6.7% YTD and was up 1.5% for the month of October.

Commodity specialists have been on a remarkably efficient run since we launched the index. While Systematic managers rightfully have captured the media attention, a diversified portfolio of Commodity specialists have delivered better returns and at half the volatility.

Commodity Specialist versus Systematic CTA

This 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.

NilssonHedge CTA Index returns
NilssonHedge CTA Index

Risk Parity portfolios have faced difficulties as both bonds and equities did poorly throughout 2022 and we are seeing rather unimpressive numbers from the space. While recovering in October, a set of diversified Risk Parity managers is still down some 15% for the year.

Taking the man-vs-machine battle further, Equity Market Neutral Strategies returned 0.8% for October, and have delivered 0.3% YTD. Systematic EMN strategies returned 0.9% (YTD: -0.1%) while Discretionary traders returned 0.7% (YTD: 0.6%). 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.

Equity Market Neutral Index Results
Equity Market Neutral Index

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. Based on early indications, it looks like CTAs are having a difficult performance period while other strategies are recovering strongly in November.

Daily Returns for CTA, Market Neutral, Equity Long Short and Event Driven
Daily Hedge Fund Indices showing recent trends in performance