NilssonHedge provides a number of structural data reports, based on our aggregated public data. The below reports are open to the public and available to interested readers.
NilssonReport – Displays aggregated performance across managers that are captured in our database. Updated weekly. We calculate and distribute a number of fund statistics that can be used for quick screening of funds or to benchmark existing strategies. This page also leads to our flash reporting on the current returns of the managers that we capture in the database.
Best and Worst Managers – Displays the 10 best and 10 worst managers per category. We calculate this on a monthly and a yearly basis. Our rankings are updated weekly based on the performance we have recorded. We maintain lists for the best CTA/Managed Futures, Equity Long/Short, Market Neutral, Crypto Strategies, Risk Premia, and Asset Allocation Strategies.
Correlation/Beta for hedge fund indices against global markets. We calculate short-term beta measures for CTA, Equity Long/Short, Market Neutral, Event-Driven, and Crypto Strategies against Equities, Bonds, Bitcoins, Currencies, Energies, and Precious Metals.
Factor Exposure – A monthly updated report on factor exposure and residual alpha, across the more than 4,000 different strategies in the database. We find that certain styles and strategies have consistently underperformed, while others have delivered next to no alpha across time.
Dispersion – Dispersion is a way to characterize the shape of the distributions of returns. Here, we measure dispersion using the upper and lower quartiles (25th and 75th percentile) as an indication for how much funds selection matters contra strategy selection. 50% of the funds should be within the shaded area.
Hall of Fame – We present the best-performing fund per year, as they exist in the database. Crypto, CTA, Equity Long/Short, Event-Driven, Market Neutral are the current categories.
New & Closed Managers – A report displaying CTAs that have either applied for registration or withdrawn their status with the NFA. This report is updated on a monthly basis. While we use this to generate leads for our engines, it can be useful for investors looking for emerging managers and brokers looking for new sales leads. This data is updated monthly, based on our estimates. This report has been discontinued.
Tracking the CTA Industry – On a daily basis, we update the current state of the CTA/CPO universe, tracking the number and location of new and closed managers. We track the number of new and closed managers seeking to do business in the Futures markets. Over the last years, the number of managers has been trending down by roughly 10% per year. We provide additional aggregated statistics such as the most common location or which US state has the most of the business activity for CTAs or CPOs. This report has been discontinued.