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Top 10 – Worst 10 Risk Premia

While past performance is not indicative of future results, it is immensely satisfying to own managers amongst the best performing managers for the year or month. Likewise, it is excruciating to have exposure to the worst ones. NilssonHedge tracks the best and worst managers per strategy group. These reports are updated throughout the month, as more data arrives. This page shows the managers that we have classified as Risk Premia funds.

Risk Premia are typically based on long-term effects or market anomalies, often also well researched by more or less well-known academics. Sometimes, the premia are crowded and occasionally a large amount of these strategies will end up being correlated to each other or equity market risk.

The Top 10 Risk Premia and Worst 10 Risk Premia funds for the reporting month are shown below. This is based on our proprietary composite data streams but may contain errors. These are not filtered for Asset Under Management and are ranked on a simple return metric without adjusting for volatility.

Best/Worst Risk Premia MTD, Alterative Beta, Liquid Beta, Performance, Flash Report, AQR, Systematica, CreditSuisse, Nordea 1, Lomard Odier
Best/Worst Risk Premia MTD, Alterative Beta, Liquid Beta, Performance, Flash Report, AQR, Systematica, Credit Suisse, Nordea 1, Lomard Odier

This report may not always display the correct results, so please verify the returns before taking a victory lap through the office. NilssonHedge does not endorse any managers on the list and ending up at the top or bottom probably tells you more about the risk of a particular than anything else.

Best/Worst Risk Premia MTD ScatterPlot, Alterative Beta, Liquid Beta, Performance, Flash Report, AQR, Systematica, Credit Suisse, Nordea 1, Lomard Odier, GAM, Allianz
Best/Worst Risk Premia MTD ScatterPlot, Alterative Beta, Liquid Beta, Performance, Flash Report, AQR, Systematica, Credit Suisse, Nordea 1, Lomard Odier, GAM, Allianz

The scatter plots above show the relationship between AUM and Returns (MTD/YTD). Large managers have progressively larger markers, showing that they have earned or lost more money. In some cases, we do not have reliable AUM numbers.

There may be additional funds that are better or worse, that we have not captured in our database. Please do tell us if we are missing your fund and we are happy to capture the data.