Best’n’Worst January 2023

Using our extensive database, we have ranked close to 2,000 reporting hedge funds. From the best to the worst result in January. As noted by other market commentators, January was difficult for Trend Followers but was generally suitable for most other strategies, including the non-Trend CTAs. Most Hedge Fund strategies delivered positive performance.

Asset Allocation/Risk Parity did the best as long-only assets performed strongly. This also helped Equity L/S and Fixed Income strategies that have a persistent beta. On the flip side, we saw flat performance for Market Neutral and a small, unnoteworthy, gain for CTAs. Cryptos did really well as Technology assets rallied strongly.

CTA

A large share of the worst managers, on a performance basis, for January 2023 are the managers that did really well in 2022. Gravity is a mighty foe and the trend is your friend until it bends. Natural Gas traders continued to be fueled by rapid weather changes, and short volatility strategies continued to recover. To see the full CTA list, with dynamic rankings, please see Link

Market Neutral

Market Neutral is one of the least volatile strategies, where returns tend to accumulate over time, rather than printing lumpy returns on the upside or downside. Factor performance tends to dominate the average performance, but specific funds can be exposed to particular strategies that are not captured by academic factors. To explore our Market Neutral database, with dynamic rankings, please see Link

Equity Long/Short

Long/Short Equity strategies had a good start to the year. In particular technology-focused managers with a beta tilt did really well. This is a strategy that is highly expected to do well when the equity beta is positive. To explore our extensive Equity Long/Short list, with dynamic rankings, please see Link

Event Driven

As one of the strategies is dependent on equity risk premia but has a low beta to equity markets Event Driven has struggled in the last few years. Several aggressive, highly volatile managers did well, partly based on long positions in selected securities. To explore our Event-Driven list, with dynamic rankings, please see Link

Fixed Income

Like Equity Long/Short managers, Fixed Income managers are usually driven by the underlying market conditions. For this list, we typically find managers that are sensitive to a specific subsector, and especially managers that are engaged in the lowest part of the capital structure. To explore Fixed Income managers, with dynamic rankings, please see Link

Risk Premia

In a strong month for Equity markets, we noted strong results from managers that load on ERP (Equity Risk Premia) or VRP (Volatility Risk Premia). Several of the strongest result for Risk Premia managers related to those strategies. To explore the Risk Premia managers in the database, with dynamic rankings, please see Link.

Crypto

Patience paid off for a large set of Crypto Managers and HODLers was rewarded with outsized returns. To explore our extensive Crypto Strategy list, with dynamic rankings, please see Link.

Past performance is not indicative of future results. This email is intended for sophisticated investors.