2022 was a year that reestablished CTAs as the prime strategy for portfolio diversification. Many of the strategies with the best absolute performance were CTAs. At the bottom, tech-focused L/S Equity and HODLers in the Crypto universe. A topsy-turvy year.
We can showcase the top and worst strategies by category, both monthly and yearly, based on the most recent accessible return data. This is derived using our proprietary composite data streams, although it is subject to inaccuracy. These are not filtered for Asset Under Management and are rated using a simple return measure without taking volatility into account. Only funds that have reported returns for the current reporting month are ranked.
Risk Adjustment is often crucial, but is left as an exercise for the reader.
While the “common” CTA is trend-driven, the majority of outliers are influenced by unique markets or market dynamics. The dispersion for the best/worst funds is large, but you can learn a lot about how they and connected strategies react to various market situations.
Please visit https://nilssonhedge.com/reports/nilsson-report/cta-rankings/ to see the entire CTA list with dynamic rankings.
Mid-year, the list was dominated by aggressive Trend strategies. As the year came to an end, NatGas traders took some of the top positions.
Market Neutral is one of the least volatile strategies, with gains that tend to compound over time rather than produce lumpy returns on the upside or downside. Although factor performance tends to outperform average performance, specialized funds might be subject to tactics that are not represented by academic factors.
Please visit https://nilssonhedge.com/reports/nilsson-report/market-neutral-rankings/ to examine our full Market Neutral list, which includes dynamic rankings.
According to popular belief, the underlying stock markets generate half of the gains for Equity Long/Short strategies. The greatest and poorest managers’ performance is generally determined by peculiar security-specific issues.
Visit https://nilssonhedge.com/reports/nilsson-report/equity-long-short-rankings/ to view our full Equity Long/Short list, which includes dynamic rankings.
Event-Driven managers are frequently vulnerable to arbitrage/spread risks associated with specialized situation securities. Managers with concentrated exposure are more likely to be on this list, and investigating the causes of outperformance or underperformance may give insights.
Please visit https://nilssonhedge.com/reports/nilsson-report/event-driven-rankings/ to view our complete Event-Driven list, which includes dynamic rankings.
Fixed Income managers, like Equity Long/Short managers, are often motivated by underlying market circumstances. For this list, we often look for managers who are sensitive to a certain subsector, and notably managers who work at the bottom of the capital structure.
Please visit https://nilssonhedge.com/reports/nilsson-report/fixed-income-rankings/ to view our full Fixed Income list, which includes dynamic rankings.
Risk Premia managers frequently use well-studied and researched systematic procedures. These may be thought of as a generic proxy for Hedge Fund exposure. Specific factor performance may indicate variations and similarities to your own portfolio.
Please visit https://nilssonhedge.com/reports/nilsson-report/risk-premia-rankings/ to view our full Risk Premia list, which includes dynamic rankings.
Crypto dealers, as usual, are the craziest group on the street. Due to the volatility of the asset class, returns are often in the double digits (or even triple digits for the top funds). This was not the year to be HODLing. If you survived Luna, FTX, Celcius, and Gemini you are in good health. Plenty of side pockets for Crypto managers.
Please visit https://nilssonhedge.com/reports/nilsson-report/crypto-strategy-rankings/ to see our full Crypto Strategy list with dynamic rankings.
Past performance is not indicative of future results.
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