The constituents for the NilssonHedge indices are now published. We ensure transparency by publishing constituents year-by-year and showing the attrition rate month-by-month. We typically update the indices and publish index members in the first week of February, but due to conflicting activities, we snuck them out gradually during February.
Our process to reconstitute our indices is fairly straightforward:
- Collect the return data for managers in the database
- For 2026, check which managers reported returns for Dec 2025. These are designated as new members.
- Cursory quality control to check that managers belongs in the right bucket.
- Add new indices as needed (some very narrow indices are only available through the download)
- Update the web page (this is what took a bit longer than expected) to ensure transparency.
- The index data is free and can be accessed here: https://nilssonhedge.com/product/index-data/
The number of index constituents is typically around 3k, down from a peak of 3.8k in 2022. Much of which is driven by a reduction of the number of Crypto strategies (primarily long-only ‘hodl’ strategies).
As a new service to our users, we are also offering the AUM we track and the number of constituents for each index.
As we tend to track a larger number of smaller managers, we have a bit higher survivorship bias in our indices. Plotting this year-over-year, we note that the rate of ‘halting reporting’ is about the same for each year (2022 is a slight exception). Currently, the run rate is 1.5% per month, with slightly elevated risk of closing around quarter ends.