As part of a larger dataset derived from CTA registration with the NFA, we track the birth and death rate of CTAs. Despite a relatively good year for CTAs in 2019, we are observing a rather steady decline in the number of managers. Currently, we have 2752 managers that are carrying a regulatory status with … Continue reading The act of the disappearing CTA
The Database contains 1540 different managers, representing 2794 different investment strategies.For the current reporting month, 670 managers have reported returns. For the prior month, we have 1009 live managers.In total, the database contains 21136 years of manager data.
Based on large sample of US Liquid Alternatives, we calculate the correlation structure over the last three year. In this set, we have 160 daily return streams, almost of all of them representing unique strategies. Based on a clustering algorithm, we identify two types of cluster, one represented by Equity Long/Short manager, with a distinctive … Continue reading Daily Liquid Hedge Fund Correlation Structure
The Database contains 1466 different managers, representing 2655 different investment strategies. For the current reporting month, 309 managers have reported returns. For the prior month, we have 851 live managers. In total, the database contains 19946 years of manager data.
As part of our regular coverage of new and closed managers, the December report is now available. NilssonHedge maintains a weekly mailing for interested parties to keep track of new managers as well as closing managers. Please contact us at firstname.lastname@example.org to be added to the list. The report can be found here: https://nilssonhedge.com/new-closed-2019-december/ Photo … Continue reading New and Old CTAs
Based on the data that we collect, we have an indication of what worked and what didn’t work last month. The average return was -1% for December and the year-to-date return has shrunk to 2%. Please note that these returns are excess returns. We may also have missed to adjust for certain dividend payments. Superfund … Continue reading Early Returns from CTAs