Flash Report April-23

Like many other strategies, CTAs made a comeback after the tumultuous March. With the exception of a few hard-to-mark asset classes (Private Debt, Private Equity, and Infrastructure) CTA led the pack with a return of 1.1% (based on 46% reporting). This takes the loss for CTAs to do a minor 70bps for 2023. The NilssonHedge CTA index is showing slightly better numbers, but that is partly due to which managers have reported and which managers are included in the indices.

Thanks to a strong January, Crypto Strategies are still ahead of the pack with a 35% return for the year. Although not much has been happening since January. The NilssonHedge Crypto Index shows the impact of the difficult conditions throughout 2022 with a large turnover amongst the eligible managers.

In the CTA sector, on a year-to-date basis, strategies with a bend toward less focus on Trend Following have done better. We note that the median performance is marginally positive for other strategies.

For April, the story is more positive for the Trend Followers brethren and sistren with better numbers. So far, based on approximately half of the managers reporting data, more than 75% of them have positive numbers.

A close relative to the CTAs is the risk premia strategies. Occasionally these deploy trend-following strategies but typically access a much broader set of set strategies, including factor risk premia in equities and other asset classes.

The strategy had a big awakening during the Covid Crisis where “Equity Risk Premia” caused the strategy severe losses. During this time, several strategies shut down or retooled. The NH Risk Premia index is printing moderately positive numbers and has seen a good run over the last two years.

As per usual, our databases are updated and we have coverage of 1400+ strategies with April-23 numbers. Feel free to explore the free parts of the Database, for instance, the CTA Ranking report offers a quick way to assess how your Managed Futures portfolio is doing compared to peers.

Thanks for reading, and please feel to reach out to us, to see how we can help you with performance data.