As per the start of the year, we have launched two new indices with a focus on equity strategies. The first is a traditional Long/Short equity market index while the other one is a market neutral index. The Long/Short indices can be found here: https://nilssonhedge.com/index/daily-equity-ls-index/ The Equity Market Neutral Index can be found here: https://nilssonhedge.com/index/daily-equity-market-neutral-index/ … Continue reading Launch of two new daily indices

Halfway through the month, a majority of the CTAs have reported numbers for December. It seems as if CTAs will end up the year slightly above 5% for the year, with the Systematic managers generally outperforming the Discretionary managers. When it comes to Man vs Machine, the Systematic managers ended up outperforming the Discretionary managers. … Continue reading CTA: Year-End Index Results & Man vs Machine Results

The NilssonReport is updated with performance data for December. We note that returns are displayed as Excess returns and that the report has expanded coverage into Equity Long/Short strategies. Looking at drawdowns for the funds in the report, we note that only a fraction of them are close to high water marks. 16% of the … Continue reading NilssonReport Updated

The top and bottom hedge funds for 2019 was largely dominated by Cryptotraders, with a few exceptions. We note that the “Martin Fund” came screaming back the last two months and while lagging for the whole year, ended up in top 10 list. This list will change over time as we find more performance data. … Continue reading Top / Bottom Hedge Funds for 2019

With more than 2/3rds of the managers reporting, we can see that there was some dispersion amongst the performance outliers. Crypto did generally poorly while the upside was more diversified. Martin Fund Management – Martin Fund 26% Glenhaven Capital – Glenhaven Global II 13% Gresham Investment Management – GreshamQuant Acar 12% Dreiss Research Corp – … Continue reading Top / Worst 10 Manager for December

As part of a larger dataset derived from CTA registration with the NFA, we track the birth and death rate of CTAs. Despite a relatively good year for CTAs in 2019, we are observing a rather steady decline in the number of managers. Currently, we have 2752 managers that are carrying a regulatory status with … Continue reading The act of the disappearing CTA