NilssonHedge calculates a number of speciality hedge fund and CTA-Managed Futures indices. We provide estimates of average return, the number of managers and an estimate for the assets under management in the industry. The data can be downloaded here.
These indices are generally not investable and represent the average return from managers which requires continuous rebalancing. To view a particular index, please click on the links above. The NilssonHedge indices are live since Jan 2019. There will be no backtracking of the indices. In cases when a new index is launched, it will be based on the historical, actual state of the database as of the launch date. Return data will be continuously updated and will incorporate lagging managers that for various reasons have decided to restart reporting. This may introduce variability in the rate of the returns.
There are various biases in the index returns. For instance, by allowing managers to continue to report their returns after a particular date, we expect that those returns are upward biased. We also assume that non-reporting managers have an average index returns if they stop reporting will also bias the index upward.
Given the occasional large investment minimums for each manager, the minimum investment to invest an average amount into all managers may approach infinity. In addition, some managers may be closed for new investments. That combined with monthly rebalancing, based on an unknown close price makes the index highly uninvestable. The NilssonHedge indices are simply an indicator of performance rather than a financial benchmark.