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Daily Equity LS Index

NilssonHedge provides a Daily Long-Short Equity index, based on the average returns of the underlying managers. This index is expected to be correlated to overall equity markets.

The managers included in the index are based on strategies that we have identified as consisting of Long-Short Equity funds (or using similar strategies) reporting Daily Numbers through liquid funds. Most of the managers are diversified across styles and sectors while others are focused on a particular sector. Most of the managers deploy long/short alpha strategies in US equity markets while some diversify into Global markets. Beta is the overarching risk factor.

From Jan 1st, 2020 we disclose index constituents. The Index should be used as an indication of performance and general direction of pnl. The index is updated daily, without any manual checks. Thus the data may not be consistent over time and contain errors. The index does not adjust for different fee levels or entry/exit fees.

We do not impose minimum requirements on track records or aum for this subset. Managers that drop out of the index are replaced with the average return of the index.

Methodology

In line with our method to build the database, we collect data from a large number of sources. A difference to monthly data is that we need to process daily returns much more carefully, apply filters and aggregate differently.

  • Data is collected daily. One of the many problems with daily data is that is not cleaned in the same manner and may contain noise.
  • To remove noise, for instance, driven by dividend payments that are not properly incorporated into the return stream, we take the median return over many share classes. This removes some of the spikes, but not all of them.
  • Moreover, we apply a statistical filter to remove outliers. Here, we control for market movements that cause the filter to remove true market returns.
  • As we aggregate over share classes and most managers only show the “cheapest” share class in their official track record, our returns tend to show a lower rate of return and potentially more volatility.
  • As part of our final statistical test, we correlate the equivalent monthly returns, from daily compounded returns, with monthly returns streams that already exist in the monthly database.
  • Entry and Exit fees are ignored.

Index Constituents

361 CapitalDomestic Long/Short Equity
361 CapitalGlobal Long/Short Equity
ABRDynamic Blend Equity & Volatil
Absolute Investment AdvCapital Opportunities
ACMDynamic Opportunity
AlgerDynamic Opportunities
AllianceBernsteinSelect US Long/Short
AmericaFirstAmericaFirst Defensive Growth
AMGRiver Road Long-Short
Anchor CapitalTactical Equity Strategies
Anchor CapitalTactical Global Strategies
AQR Capital ManagementLong-Short Equity
AXS Multi-Strategy Alternatives FundAXS Multi-Strategy Alternatives Fund
Boston PartnersBoston Partners Emerging Mkts L/S
Boston PartnersBoston Partners Long/Short Equity
Boston PartnersBoston Partners Long/Short Rsrch
Boston PartnersPartners Global Long/Short
CalamosCalamos Phineus Long/Short
Caldwell & OrkinCaldwell & Orkin – Gator Capital L/S
Catalyst FundsSystematic Alpha
Clough GlobalClough Global Long/Short
CounterpointConvergence Long/Short Equity
CounterpointCounterpoint Tactical Equity
CRMLong/Short Opportunities
Diamond HillDiamond Hill Long-Short
Equinox Fund ManagementEquinox Ampersand Strategy Fund
FintrustFintrust Income and Opportunity
First Quadrant LPFQ Long-Short Equity
ForesterForester Value
FS InvestmentsLong/Short Equity
GabelliMergers & Acquisitions
GlenmedeQuant US Long/Short Equity
Global Tactical FundGlobal Tactical Fund
GothamGotham Absolute Return Institutional
GothamGotham Defensive Long 500
GothamGotham Hedged Core Institutional
GothamGotham Hedged Plus Institutional
GothamGotham Total Return
GuggenheimGuggenheim Alpha Opportunity
GuggenheimGuggenheim Long Short Equity
Hancock HorizonHancock Horizon Quant Long/Short
HighlandHighland Long/Short Healthcare
Invenomic InstitutionalInvenomic Institutional
Invenomic InvestorInvenomic Institutional
Invenomic Super InstitutionalInvenomic Institutional
James AlphaJames Alpha EHS Portfolio
JHancockHancock Seaport Long/Short
JPMorganJPMorgan Opportunistic Equity L/S
JPMorgan Equity Premium Income Fundjeprx JPMorgan Equity Premium Income Fund
JPMorgan Hedged Equity Fundjhqrx JPMorgan Hedged Equity Fund
JPMorgan International Hedged Equity Fdjihrx JPMorgan International Hedged Equity Fd
Knights of Columbus Long/Short Equity Fdkceix Knights of Columbus Long/Short Equity Fd
LoCorr Fund ManagementDynamic Equity
LongboardLongboard Alternative Growth
LS OpportunityLS Opportunity Fund
MarketfieldMarketfield
MeederMeeder Spectrum
MFSMFS Managed Wealth
Multi-ManagerMulti-Manager Directional Alt Strat
NavigatorNavigator Equity Hedged
Neuberger BermanNeuberger Berman Long Short
NuanceNuance Concentrated Value L-S
NuveenNuveen Equity Long/Short
Otter CreekOtter Creek Long/Short Opportunity
PersimmonPersimmon Long/Short
PGIM QMAPGIM QMA Long-Short Equity
PIMCOPIMCO RAE Worldwide Long/Short PLUS
ProbabilitiesProbabilities
RiverParkRiverPark Long/Short Opportunity
SalientSalient Tactical Growth
SalientSalient Tactical Plus
ScharfScharf Alpha Opportunity
Securian AMSecurian AM Managed Volatility Eq
SiriosSirios Long/Short
Snow CapitalSnow Capital Long/Short Opportunity
ThornburgThornburg Long/Short Equity
ToewsToews Tactical Defensive Alpha
ToewsToews Tactical Monument
ToewsToews Tactical Oceana
ToewsToews Tactical Opportunity
USA MutualsUSA Mutuals Navigator Institutional
Virtus KARVirtus KAR Long/Short Equity
Water Island Long/Short Fundatqix Water Island Long/Short Fund
WaycrossWaycross Long/Short Equity
Weitz Partners IIIWeitz Partners III Opportunity
WilmingtonWilmington Global Alpha Equities
361 CapitalDomestic Long/Short Equity
361 CapitalGlobal Long/Short Equity
ABRDynamic Blend Equity & Volatil
Absolute Investment AdvCapital Opportunities
ACMDynamic Opportunity
AlgerDynamic Opportunities
AllianceBernsteinSelect US Long/Short
AmericaFirstAmericaFirst Defensive Growth
AMGRiver Road Long-Short
Anchor CapitalTactical Equity Strategies
Anchor CapitalTactical Global Strategies
AQR Capital ManagementLong-Short Equity
Arin Large Cap Theta FundArin Large Cap Theta Fund
AXS Multi-Strategy Alternatives FundAXS Multi-Strategy Alternatives Fund
AXS Multi-Strategy Alternatives FundAXS Multi-Strategy Alternatives Fund
Balter EuropeanEuropean L/S Small Cap
Beacon Accelerated Return Strategy FundBeacon Accelerated Return Strategy Fund
Beacon Planned Return Strategy FundBeacon Planned Return Strategy Fund
BlackRockGlobal Long/Short Equity
Boston PartnersBoston Partners Emerging Mkts L/S
Boston PartnersBoston Partners Long/Short Equity
Boston PartnersBoston Partners Long/Short Rsrch
Boston PartnersPartners Global Long/Short
CalamosCalamos Phineus Long/Short
Caldwell & OrkinCaldwell & Orkin – Gator Capital L/S
CausewayCauseway Global Absolute Return Instl
Clough GlobalClough Global Long/Short
CounterpointConvergence Long/Short Equity
CounterpointCounterpoint Tactical Equity
CRMLong/Short Opportunities
Diamond HillDiamond Hill Long-Short
Diamond HillDiamond Hill Research Opportunities
FintrustFintrust Income and Opportunity
First Quadrant LPFQ Long-Short Equity
ForesterForester Value
FS InvestmentsLong/Short Equity
GlenmedeQuant US Long/Short Equity
GothamGotham Absolute 500 Core
GothamGotham Absolute 500 Institutional
GothamGotham Absolute Return Institutional
GothamGotham Defensive Long 500
GothamGotham Defensive Long Institutional
GothamGotham Hedged Core Institutional
GothamGotham Hedged Plus Institutional
GothamGotham Total Return
GuggenheimGuggenheim Alpha Opportunity
GuggenheimGuggenheim Long Short Equity
Hancock HorizonHancock Horizon Quant Long/Short
HighlandHighland Long/Short Healthcare
Hussman Strategic GrowthHussman Strategic Growth
Hussman Strategic InternationalHussman Strategic International
Invenomic InstitutionalInvenomic Institutional
Invenomic InvestorInvenomic Institutional
Invenomic Super InstitutionalInvenomic Institutional
James AlphaJames Alpha EHS Portfolio
James AlphaJames Alpha Relative Value
JHancockHancock Seaport Long/Short
JPMorganJPMorgan Opportunistic Equity L/S
JPMorgan Equity Premium Income FundJPMorgan Equity Premium Income Fund
JPMorgan Hedged Equity FundJPMorgan Hedged Equity Fund
JPMorgan International Hedged Equity FdJPMorgan International Hedged Equity Fd
JPMorgan Macro Opportunities FundJPMorgan Macro Opportunities Fund
JPMorgan Macro Opportunities FundJPMorgan Macro Opportunities Fund
Knights of ColumbusLong/Short Equity Fund
LoCorr Fund ManagementDynamic Equity
LongboardLongboard Alternative Growth
LS OpportunityLS Opportunity Fund
Main BuyWrite FundMain BuyWrite Fund
MarketfieldMarketfield
MeederMeeder Spectrum
MFSMFS Managed Wealth
Midwood Long/Short Equity FundMidwood Long/Short Equity Fund
Multi-ManagerMulti-Manager Directional Alt Strat
Natixis ASGASG
NavigatorNavigator Equity Hedged
Navigator SentryNavigator Sentry Managed Volatility
Neuberger BermanNeuberger Berman Long Short
NuanceNuance Concentrated Value L-S
NuveenNuveen Equity Long/Short
Otter CreekOtter Creek Long/Short Opportunity
PersimmonPersimmon Long/Short
PGIM QMAPGIM QMA Long-Short Equity
PIMCOPIMCO RAE Worldwide Long/Short PLUS
ProbabilitiesProbabilities
RiverParkRiverPark Long/Short Opportunity
SalientSalient Tactical Growth
SalientSalient Tactical Plus
ScharfScharf Alpha Opportunity
SchwabSchwab Hedged Equity
Securian AMSecurian AM Managed Volatility Eq
SiriosSirios Long/Short
Snow CapitalSnow Capital Long/Short Opportunity
The Covered Bridge FundThe Covered Bridge Fund
ThornburgThornburg Long/Short Equity
ToewsToews Tactical Defensive Alpha
ToewsToews Tactical Monument
ToewsToews Tactical Oceana
ToewsToews Tactical Opportunity
Virtus KARVirtus KAR Long/Short Equity
WaycrossWaycross Long/Short Equity
Weitz Partners IIIWeitz Partners III Opportunity
WilmingtonWilmington Global Alpha Equities
361 CapitalDomestic Long/Short Equity
361 CapitalGlobal Long/Short Equity
ABRDynamic Blend Equity & Volatil
Absolute Investment AdvCapital Opportunities
ACMDynamic Opportunity
AlgerDynamic Opportunities
AllianceBernsteinSelect US Long/Short
AmericaFirstAmericaFirst Defensive Growth
American CenturyDiscp Long Short
AMGRiver Road Long-Short
Anchor CapitalTactical Equity Strategies
Anchor CapitalTactical Global Strategies
AQR Capital ManagementLong-Short Equity
Balter EuropeanEuropean L/S Small Cap
BlackRockGlobal Long/Short Equity
BMOGlobal Long/Short Equity
Boston PartnersBoston Partners Emerging Mkts L/S
Boston PartnersBoston Partners Long/Short Equity
Boston PartnersBoston Partners Long/Short Rsrch
Boston PartnersPartners Global Long/Short
CalamosCalamos Phineus Long/Short
Caldwell & OrkinCaldwell & Orkin – Gator Capital L/S
CausewayCauseway Global Absolute Return Instl
Clough GlobalClough Global Long/Short
CounterpointConvergence Long/Short Equity
CounterpointCounterpoint Tactical Equity
CRMLong/Short Opportunities
Diamond HillDiamond Hill Long-Short
Diamond HillDiamond Hill Research Opportunities
FintrustFintrust Income and Opportunity
First Quadrant LPFQ Long-Short Equity
ForesterForester Value
FS InvestmentsLong/Short Equity
GlenmedeQuant US Long/Short Equity
GothamGotham Absolute 500 Core
GothamGotham Absolute 500 Institutional
GothamGotham Absolute Return Institutional
GothamGotham Defensive Long 500
GothamGotham Defensive Long Institutional
GothamGotham Hedged Core Institutional
GothamGotham Hedged Plus Institutional
GothamGotham Total Return
GuggenheimGuggenheim Alpha Opportunity
GuggenheimGuggenheim Long Short Equity
Hancock HorizonHancock Horizon Quant Long/Short
HighlandHighland Long/Short Equity
HighlandHighland Long/Short Healthcare
Hussman Strategic GrowthHussman Strategic Growth
Hussman Strategic InternationalHussman Strategic International
InvescoInvesco Long/Short Equity
James AlphaJames Alpha EHS Portfolio
James AlphaJames Alpha Relative Value
JHancockHancock Seaport Long/Short
JPMorganJPMorgan Opportunistic Equity L/S
LoCorr Fund ManagementDynamic Equity
LongboardLongboard Alternative Growth
LS OpportunityLS Opportunity Fund
MarketfieldMarketfield
MeederMeeder Spectrum
MFSMFS Managed Wealth
MProved SystematicMProved Systematic Long-Short
Multi-ManagerMulti-Manager Directional Alt Strat
NationwideNationwide Long/Short Equity
Natixis ASGNatixis ASG Tactical US Market
NavigatorNavigator Equity Hedged
Neuberger BermanNeuberger Berman Long Short
NuanceNuance Concentrated Value L-S
NuveenNuveen Equity Long/Short
Otter CreekOtter Creek Long/Short Opportunity
PersimmonPersimmon Long/Short
PGIM QMAPGIM QMA Long-Short Equity
PIMCOPIMCO Eq Long/Short
PIMCOPIMCO RAE Worldwide Long/Short PLUS
ProbabilitiesProbabilities
PzenaPzena Long/Short Value
RMB MendonMendon Financial Long/Short
SalientSalient Tactical Growth
SalientSalient Tactical Plus
ScharfScharf Alpha Opportunity
SchwabSchwab Hedged Equity
Securian AMSecurian AM Managed Volatility Eq
SiriosSirios Long/Short
Snow CapitalSnow Capital Long/Short Opportunity
ThornburgThornburg Long/Short Equity
ToewsToews Tactical Defensive Alpha
ToewsToews Tactical Monument
ToewsToews Tactical Oceana
ToewsToews Tactical Opportunity
Virtus KARVirtus KAR Long/Short Equity
WaycrossWaycross Long/Short Equity
Weitz Partners IIIWeitz Partners III Opportunity
WilmingtonWilmington Global Alpha Equities