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Daily Equity Market Neutral Index

NilssonHedge provides a Daily Equity Market Neutral index, based on the average returns of the underlying managers. This index is expected to be uncorrelated to overall equity markets. Typically, these managers will have various (equity) factor biases and the return stream can be viewed as a proxy for active equity managers.

The managers included in the index are based on strategies that we have identified as consisting of Market Neutral funds (or using similar strategies) reporting Daily Numbers. Most of the managers are diversified across styles and sectors while others are focused on a particular sector. Most of them have a static low equity beta, but some may have modest long biases. Most of the managers deploy fundamental long/short alpha strategies in US equity markets while some diversify into Global markets.

From Jan 1st, 2020 the index discloses 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

PIMCO PIMCO RAE Fundamental Advantage PLUS
JPMorgan JPMorgan Research Market Neutral
QS QS Global Market Neutral
Vanguard Vanguard Market Neutral
Victory Victory Market Neutral Income
Westwood Westwood Market Neutral Income Instl
AQR Capital Management Equity Market Neutral
BlackRock Tactical Opportunities
Gotham Gotham Neutral
Cognios Cognios Market Neutral Large Cap
Invesco Invesco All Cap Market Neutral
Guggenheim Guggenheim Market Neutral

American CenturyMarket Neutral Val
AQR Capital ManagementEquity Market Neutral
CogniosCognios Market Neutral Large Cap
GothamGotham Neutral
GothamGotham Neutral 500
GuggenheimGuggenheim Market Neutral
InvescoInvesco All Cap Market Neutral
JPMorganJPMorgan Research Market Neutral
NuveenNuveen Equity Market Neutral
PIMCOPIMCO RAE Fundamental Advantage PLUS
QSQS Global Market Neutral
RG Tactical Market Neutral InstitutionalRG Tactical Market Neutral Institutional
VanguardVanguard Market Neutral
VictoryVictory Market Neutral Income
WestwoodWestwood Market Neutral Income Instl
American CenturyMarket Neutral Val
AQR Capital ManagementEquity Market Neutral
CogniosCognios Market Neutral Large Cap
FS InvestmentsMarket Neutral
GothamGotham Master Neutral
GothamGotham Neutral
GothamGotham Neutral 500
GuggenheimGuggenheim Market Neutral
InvescoInvesco All Cap Market Neutral
JPMorganJPMorgan Research Market Neutral
NuveenNuveen Equity Market Neutral
PIMCOPIMCO RAE Fundamental Advantage PLUS
Putnam PanAgoraPutnam PanAgora Market Neutral
QSQS Global Market Neutral
VanguardVanguard Market Neutral
VictoryVictory Market Neutral Income
WestwoodWestwood Market Neutral Income Instl
American CenturyEquity Market Netr
American CenturyMarket Neutral Val
AQR Capital ManagementEquity Market Neutral
CogniosCognios Market Neutral Large Cap
FS InvestmentsMarket Neutral
GMOGMO Alpha Only
GothamGotham Master Neutral
GothamGotham Neutral
GothamGotham Neutral 500
GuggenheimGuggenheim Market Neutral
InvescoInvesco All Cap Market Neutral
InvescoInvesco Global Market Neutral
JPMorganJPMorgan Research Market Neutral
NuveenNuveen Equity Market Neutral
PIMCOPIMCO RAE Fundamental Advantage PLUS
Putnam PanAgoraPutnam PanAgora Market Neutral
QSQS Global Market Neutral
RG Tactical Market Neutral InstitutionalRG Tactical Market Neutral Institutional
VanguardVanguard Market Neutral
VictoryVictory Market Neutral Income
WestwoodWestwood Market Neutral Income Instl
ZacksZacks Market Neutral