NilssonHedge calculates a number of specialty hedge funds and CTA-Managed Futures indices. We provide estimates of average return, the number of managers, and an estimate of the assets under management in the industry. The data can be downloaded here.
We provide a large set of specialized benchmarks for various types of CTA/Managed Futures managers. These are useful when trying to dissect and understand the market environment in particular segments.
Striving to provide realistic performance estimates, our indices are reconstituted once a year. The indices do not suffer from backfill biases and can be verified using our historical database.
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 historical rate of 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 return if they stop reporting which will also bias the index upward as funds rarely close on an uptick.
Given the occasional large investment minimums for each manager, the portfolio size needed to invest an average amount into all managers is large and is probably out of reach for most investors. In addition, some managers may be closed for new investments. That combined with monthly rebalancing, based on an unknown close price makes the indices uninvestable. The NilssonHedge indices are simply an indicator of performance rather than a financial benchmark. We may develop indices that are investable in the future.
Index Methodology
NilssonHedge is a hedge fund database that keeps track of hedge funds with publicly disclosed results. Based on the track records that we collect, we aggregate returns into a number of different performance barometers that can be used as indicators and benchmarks for other active strategies.
The indices are disseminated through our database, website, and the analytical software packages that NilssonHedge has partnered up with. These indices are generally not proper benchmarks but rather performance indicators.
Index figures are updated continuously throughout the month and reflect the current state of the database.
Constituents
Our methodology for selecting constituents is straightforward and based on the following rules:
- At the end of January, each year, NilssonHedge isolates the managers and strategies that have reported returns for December, the prior year. This list remains fixed throughout the year, regardless of the number of new managers in the database. As such, expect the number of manager to gradually decline throughout the year.
- There are currently no requirements on assets under management, length of track-record, or other qualitative aspects of the underlying firms. Specific sub-indices may have requirements on AUM and track-record length.
- The monthly indices are generally not backfilled and represent the out-of-sample results. The daily indices have been partially backfilled based on the status of the database. We disclose the “go-live” date for affected indices.
Based on our assessment of the underlying strategies, eligibility for inclusion is determined. For instance, if we classify a manager as a CTA, that manager is qualified to be included in the CTA indices, but not in any other strategy index.
Calculations
The NilssonHedge indices are equal-weighted composites.
- If a manager ceases to report, the results are substituted with the average manager return, based on the existing constituents. If a manager restarts reporting, the historical returns will be updated to reflect the actual returns from the manager.
- Managers are only substituted at year-end and the constituents will remain the same for each vintage.
- Returns are assumed to be in USD and no currency conversion is applied.
- NilssonHedge is responsible for calculating the index values. The calculations are automated and frequent ocular quality control is applied.
- The underlying returns for each included program are based on NilssonHedge’s algorithms and the results for the returns streams on our site may differ from the official returns from a manager.
- Daily Returns are automatically tweeted to https://twitter.com/IndexHedge
Transparency
NilssonHedge strives to have 100% transparency regarding the indices. We make several disclosures that serve the analysts and managers using our indices.
- To enhance transparency, the constituents are published on our website. This allows any user to reproduce the results.
- The development of the number of index constituents can be tracked via our website, showing the number of managers that have reported returns.
License
The NilssonHedge indies are distributed according to Creative Commons, attribution, and share alike rules. The rules are detailed here: https://creativecommons.org/licenses/by-sa/4.0/
You are free to share and adapt the data. However, you must give appropriate credit and provide a link to our webpage.
Notices
The NilssonHedge indices are solely for informational purposes. Past Performance is Not Necessarily Indicative of Future Results. This is not a solicitation. Data is provided “as is” without warranties and is not guaranteed to be error-free. Nothing on our website, in this document, or in any other material is an offer to buy or sell securities. These rules may change at any time without prior notice to users.