We have been working behind the scenes the last few weeks and have created additional refinements when it comes to diving deeper into benchmarking exercises. We have created the following indices:
- Momentum/Trend index,
- Short-Term Trader Composite,
- Quant Index (which here is defined as non-trend),
- a Systematic and Discretionary sub-index subsetting our popular Commodity Index
- a Global Macro Index focused on discretionary “go-anywhere” traders.
While a lot of the indices are correlated (e.g. CTA Momentum and the Systematic CTA index), the drifts will be slightly different and may be useful for benchmarking style pure managers or understanding specific parts of the market structure.
We are touching up the final classification of the underlying managers and may revise the constituents list in the next few days.
We are also working on adding a “Volatility Arbitrage” index which should be ready in a few weeks.
The Quant Index has been defined as managers that are engaged in primarily non-trend strategies (AI, Fundamental, Short Term, etc.) and has generally delivered an interesting risk profile. The Discretionary Commodity index is the least correlated to the broader CTA Indices with a correlation of 0.2.
In particular, for investors looking for diversification, the CTA Quant Index has a relatively low correlation to the general CTA index of 0.67. Momentum on the other hand is 0.95 correlated to our broader CTA index.
In other news, we have distributed the first 2023 version of the NilssonHedge database and given the risk-on nature of the month, traditional alternative strategies did really well. Crypto Managers generated a whopping 32% highlighting their Cathie Wood / ARK correlation.
- We start the year with some 1,267 strategies with data, representing 67% of the strategies in the database.
- On the CTA side, consisting of a large share of private vehicles 222 managers have reported numbers as of “pixel-time”.
If you are interested to explore the structure of our new indices, please head over to our shop and subscribe to the free index data.