This article first appeared in HedgeNordic’s Systematic Strategies and Quant Trading 2026. A copy can be accessed here: https://hedgenordic.com/systematic-2026/

Dispersion matters. If dispersion is high, there are two strategies for a fund selector. The first is to try to identify and allocate to the best-performing funds if you possess strong manager selection skills. The second is to allocate capital across as many managers as possible to diversify manager-specific risk. If dispersion is low, manager selection matters less, as all managers effectively become similar by broadly executing the same strategy. In that case, capital can be allocated to a single manager without taking on significant career risk.

Throughout 2025, we saw several CTAs point out that a small selection of large managers has exhibited an unusually wide range between the worst- and best-performing programs. A thoughtful analysis of the reasons behind this divergence was published by Quantica¹, while others, such as CFM², concluded that dispersion was no greater than average. Both articles present valid arguments.

Further attempts to explain divergence between managers was done by MAN Group that dived deeper into the subject³ highlighting how exposure to certain factors, sector tilts, and trading speed affects the outcome. Similarly, Bank of America has argued that specific design decisions largely determine the ex-post realized divergence from peers.

Given that trend followers are often viewed as a largely homogeneous group exhibiting similar characteristics (long-term orientation, momentum-based signals, long skew, crisis alpha, etc.), it is remarkable that divergence can appear either very large or very small, depending on how it is measured. We also frequently observe managers experiencing temporary underperformance citing elevated dispersion as a partial explanation for larger drawdowns. 

As seen in Figure 1, almost all the large divergences occur during weeks with large macro events. The highest weekly dispersion readings tend to coincide with periods of market stress. While dispersion is currently above its long-term average, it appears relatively stable when viewed over a longer horizon.

Using one of the largest databases available for CTAs (NilssonHedge). We calculate several dispersion-related measures across managers. Since the early 2000s, we have collected return data on more than 600 trend-based managers.  We believe the sample is reasonably free from pre-production strategies (i.e., simulated returns) and is not affected by survivorship bias.

We ignore size and focus purely on the realized returns. Given the scalability of trend following (due to the exposure to large liquid markets and relatively slow changes in positions) size is a less relevant sorting variable, at least from this perspective. Small and large managers use the same strategy, and similar markets. Otherwise, they would not be correlated. Thus, we find it reasonable not to condition the sample on size herein.  

Low Dispersion? 

There are multiple ways to define dispersion. A reasonable definition is to use the “interquartile range”, i.e. the distance between the 25^th and 75^th percentile. We track this measure back to 2015 using monthly data. 

As noted above, dispersion is often driven by large divergences in the top and bottom quartile around major market event, such as the Feb 18 equity market correction, Covid, the Ukrainian invasion, Liberation, and the Iran war. Unexpected market events.  

Short-term dispersion is almost always due to luck, with a manager having the right or wrong position going into a particular event. Post an event, reactions can be evaluated, how the signals changed and if risk management forced positions to be reduced. This can relate to subtle differences in parameter configuration, having a particular market, or a sector tilt. To visually identify any trends in dispersion, we plot rolling averages over different time horizons. The results are presented in Figure 2. Monthly dispersion occasionally spikes but reverts in subsequent months. High dispersion predicts low dispersion in the next period. That said, it is hard to see any sustained trend in the data. Overall, nothing appears elevated, and if anything, rolling dispersion on a yearly horizon is low relative to its own history.

High Dispersion? 

We move away from the noise that month-to-month returns represent and focus on the rolling risk-adjusted annual performance to reduce the influence of a few highly volatile managers. 

As before, we divide the sample into quartiles. The realized rolling Sharpe ratios are highly correlated, suggesting that managers are exposed to many of the same underlying return drivers.

When examining rolling risk-adjusted performance dispersion, a somewhat different picture emerges. Dispersion is close to all-time highs. This finding supports the views of industry participants who have observed elevated realized dispersion.

Reading the tea leaves

While we found that monthly dispersion is roughly in line with historical averages, we noted that annual dispersion was much higher than normal. Does this indicate something meaningful, or are we simply torturing the data?

As it turns out, when comparing a manager’s current ranking with its ranking in a subsequent period, we find that the correlation is persistently negative. In other words, managers with high risk-adjusted performance generally performed less well in the following period, relative to peers.

In conclusion, monthly dispersion has remained stable and well contained over the past 10 years, while annual risk-adjusted performance exhibits clearly elevated levels of dispersion. As a result, manager selection has mattered, and concentrating capital among too few managers has carried a high risk of underperforming a benchmark However, if you happen to have invested with a trend strategy that has performed exceptionally well, you should not expect that outperformance to persist in the next period.  

The best cure for low performance is low performance.

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¹ https://quantica-capital.com/en/publication/qi-2025Q4

² Steady Trends: The Reality of CTA Return Dispersion – CFM

³ https://www.man.com/insights/deep-dive-trend-following

In the beginning, CTAs were a cottage industry, focusing on HNW, seeking outsized returns, and deploying notionally funded managed accounts. The industry gradually became institutionalized, and managers over time shifted their focus from maximum returns to risk-adjusted returns. Regulatory innovations and market conditions both closed and opened up new structures for different client groups. Consequently, Trend Following managers have gone through an evolution in terms of distribution mechanics and investor base. ETFs are one of these latest distribution innovations. ETFs is, in our view, are the first step in creating a passive exposure to the strategy.

This is a repost of an article NilssonHedge wrote for HedgeNordic’s Managed Futures ETF special. The original can be found here: https://hedgenordic.com/2026/04/there-can-only-be-one/ alongside a large number of excellent insights into the burgeoning Managed Futures ETF universe.

We recently increased the price of our databases (they are still cheap…), but are offering a $500 discount if you use nilssonhedgesubscriberdiscount2026 at checkout (https://nilssonhedge.com/access-database/). This is valid until the end of the second quarter 2026.

In this article, we illustrate that this development has not had a negative impact on the overall investor base.  Higher liquidity and equivalent returns, often coupled with lower fees, for instance, have been beneficial to investors. On the flipside, this evolution may also create the downfall of many CTAs and make it impossible to successfully establish another, new Trend strategy. Trend Following Hedge Funds may face the same competitive pressures as Long Only Stock Pickers. 

As with the large S&P 500 ETFs, once you have a passive alternative, this evolves to the go-to alternative for allocators. And then it becomes a battle for the extra basis points you can extract. The cheapest product takes it all. Trend-followers may now be approaching a similar inflection point. The very innovations that broaden access and improve efficiency for investors could simultaneously erode the economic viability of launching and sustaining new managers. 

Alpha → Smart Beta → Passive

To illustrate these dynamics, we analyze a subset of the NilssonHedge Indices, which provides additional perspective on the broader performance. These indices represent averages, and it is important to note that individual fund performance, whether better or worse, does not invalidate the structural observations presented here.

Trend-based strategies do not only face competition from other managers. In the 2010s, post the stellar success of CTA in 2008, banks started offering Quantitative Investment Strategies (QIS), often mimicking trend following. Given the more institutionalized approach and well-established indices, fee compression was a key selling point. QIS strategies certainly offered cheaper headline fees (although the devil was in the details). 

At this point, from an institutional perspective, Trend Following was largely a Smart Beta strategy that could be allocated to within a strategic asset allocation. Purchased from a provider, regardless of whether that was a hedge fund or a bank. 

As regulatory innovation took place, new distribution channels opened up. Starting with the Rydex Managed Futures Fund in 2007, retail investors could access the strategy through commingled funds. UCITS structures followed in the mid-2010s. This evolution made it possible for banks and asset allocators to allocate trend-based exposure into their products, effectively without any minimum allocation. 

Today, trend-following strategies can be accessed in increasingly granular formats, via mutual funds and, more recently, ETFs. In effect, the strategy has become “tokenized”. Liquid, divisible, and easily embedded across portfolios.

Importantly, the fee compression observed in institutional mandates has partially flowed through to the retail segment. As the most egregiously priced products have been competed out (there were plenty of them), retail investors can now access CTA-like exposures at fee levels below 100 basis points.

They Came, They Saw, They Conquered

We focus on a subset of the NilssonHedge CTA-specific indices to better understand which segments of the strategies have ultimately benefited from the industry’s evolution.

Our Daily CTA Index, live since 2019, provides daily estimates of industry performance. The index predominantly consists of mutual funds, primarily 40-Act vehicles. and incorporates multiple share classes to present a more representative and balanced return profile. In 2026, we launched a copycat of the Daily CTA index, exclusively focused on the Managed Futures ETFs.

To study the liquidity effect, we evaluate the Daily CTA Index against the NilssonHedge Systematic Momentum Index and the NilssonHedge Systematic Index. As the names imply, these indices capture different segments of the systematic investment universe, with varying degrees of trend exposure.

Here, we note the slightly surprising fact. The Daily index outperforms the average of the managers that are only offering their strategy through a regular fund structure. The difference is modest, and on a risk-adjusted basis, the picture is somewhat more muddled. 

Ex-ante, one might have expected a negative selection bias within the Daily CTA Index. Historically, this dynamic was evident on managed account platforms. They offered superior liquidity, but the manager lineup often skewed weaker. Many top-performing CTAs had little incentive to accept the associated constraints (or fee sharing) when capital was readily available elsewhere.

The above may reflect that it is more difficult to charge performance fees in Mutual Funds (and ETFs).  The broader implication is clear: increased liquidity does not appear to be a structural drag on performance. For investors, this is an unambiguously positive outcome.

What About the ETFs?

The intraday liquidity or transparency does not seem to impose a performance drag. The difference is hardly significant, and we would require more data to understand if they are the same or if the indices are statistically different. It is, however, in the general direction that ETFs are cheaper than the funds in the Daily CTA indices. 

We expect the performance edge to be variable, but that lower fees are a structural edge and that ETFs will gradually win out, unless fees for the funds in the original index are adjusted downward. Dispersion remains high across the different constituents. There is still a common risk factor that is extracted across the strategies when aggregated across managers. And before you ask, yes, the indices used here are also highly correlated to other industry benchmarks. 

Creative Destruction

In equities, it is ‘easy’ to create a passive benchmark. With Trend Following strategies, it has proven more elusive. To fully design a “passive trend following strategy”, you need a benchmark, preferably with a well-defined process. Many have tried, and none have succeeded, largely because they have attempted to write systematic trading rules. This often fails as it is difficult to define signals, risk management, and portfolio construction in a sufficiently generic manner. 

ETFs offer a different path. Through position disclosures, they make trend following observable. Importantly, most assets are concentrated in funds that trade slowly and across a limited set of markets. This makes their portfolios sufficiently stable to approximate and aggregate. This effectively commoditizes trend following strategies. The relative slowness makes the aggregated positions suitable for outside aggregation.  

An investor could thus aggregate ETF holdings and publish an investable index. This would not be a passive benchmark in the strict sense of the S&P 500, but rather an observable proxy for long-term trend exposure. It would rely on outsourced decision-making rather than a predefined rule set.

MtLucas introduced a passive Trend Benchmark in 1998, https://www.mtlucas.com/mlm-index. It is a good benchmark for Long-Term Trend Following and serves a purpose. However, we are proposing a more dynamic index, which is essentially model free. Which is based on observed positions rather than rules.

ETFs still represent a small share of total CTA assets (less than 5%), but they are becoming an efficient access point for both retail and institutional investors. 

For managers, the trade-off is clear. The ETF structure improves distribution but increases transparency, making strategies easier to approximate. This shifts competition toward cost and scale, reducing the scope for undifferentiated offerings.

The outcome favors investors through lower costs and greater access. For managers, it raises the bar for differentiation. As in Equities, the industry may converge to a single dominant provider. Long-term trend exposure is likely to become even more commoditized. Institutional investors may opt for in-house solutions, unless fees offer competitive economics. 

While ETF solutions are on a winning streak, they may also create a winner’s curse and a race to the bottom. Investors will thank you, though. 

Access the Free Index data here: https://nilssonhedge.com/product/index-data/

The constituents for the NilssonHedge indices are now published. We ensure transparency by publishing constituents year-by-year and showing the attrition rate month-by-month. We typically update the indices and publish index members in the first week of February, but due to conflicting activities, we snuck them out gradually during February.

Our process to reconstitute our indices is fairly straightforward:

• Collect the return data for managers in the database
• For 2026, check which managers reported returns for Dec 2025. These are designated as new members.
• Cursory quality control to check that managers belongs in the right bucket.
• Add new indices as needed (some very narrow indices are only available through the download)
• Update the web page (this is what took a bit longer than expected) to ensure transparency.
• The index data is free and can be accessed here: https://nilssonhedge.com/product/index-data/

The number of index constituents is typically around 3k, down from a peak of 3.8k in 2022. Much of which is driven by a reduction of the number of Crypto strategies (primarily long-only ‘hodl’ strategies).

As a new service to our users, we are also offering the AUM we track and the number of constituents for each index.

As we tend to track a larger number of smaller managers, we have a bit higher survivorship bias in our indices. Plotting this year-over-year, we note that the rate of ‘halting reporting’ is about the same for each year (2022 is a slight exception). Currently, the run rate is 1.5% per month, with slightly elevated risk of closing around quarter ends.

Some Especially Rare Hedge Funds

NilssonHedge – Linus: Hi Eric and welcome back. Today, we’ll be discussing something unique your firm Global Investment Report is doing that no other analyst has generated.

You’ve been tracking hedge funds for more than two decades for the likes of the Financial Times, Barron’s, Institutional Investor, and SALT, and now also presenting your finding through NilssonHedge. This consolidated list of managers you just released identifies those that have made your short list of the 50 most consistently performing managers for each of the past seven years since you adopted the current selection methodology for the edition published by The Wall Street Journal in 2019.

I should remind readers that to qualify for this list in any one year requires the highest 5-year annualized returns for each year while exceeding minimum performance hurdles for each of those preceding 5 years.

That means these few managers have been making money consistently for well over a decade, a very rare accomplishment for a hedge fund manager.

What did this short list reveal?

Global Investment Report – Eric: Glad to be here Linus.

Yes, I thought it time to look back and see what these surveys collectively reveal. Each report demands managers prove annual consistency to qualify in the Top 50. But qualifying for all seven reports since 2019 (each based on the trailing 5 years of returns ending in 2018) reflects an extraordinary level of consistency that most observers don’t associate with hedge funds.

Just like the annual survey, this diverse list doesn’t reflect the strongest performing managers running at least $300 million and with a minimum of 5 years in business.  There could be funds that delivered higher annualized returns over this period. But a manager that soared by say 50% one year but then was down -10% the next wouldn’t make the cut because he would fail to straddle annual hurdle rates.

Here are the basic takeaways: half this exclusive list is composed of the usual suspects (Citadel, D.E. Shaw, and Millennium); but the other half are little known and have grown in size since I started tracking them, suggesting their consistency, rather than eye-popping returns, is what’s been driving investors to them. This list includes the likes of Anson Investments (equity), Millstreet (credit), and Wolverine Flagship (multistrategy).

NilssonHedge – Linus: Eric’s latest article can be found here, where he dives deeper into the various funds.

In 2025 through November, 9 of these 12 funds produced returns averaging 13% and one is maintaining its persistent high-single-digit rate of return.  Two funds are underperforming and may not qualify for next year’s survey. But 10 will, reflecting an annual retention rate of more than 80%.

Simply put, that means that of the 50 funds that make my annual survey, 40 or more will subsequently deliver returns that beat the following year’s hurdle rate to qualify for the next survey. The 2024 hurdle rate was 6%.

Global Investment Report – Eric: Broadly, it tells me consistency can be found in various strategies regardless of fund size and regardless of what markets are doing. But here’s a more important distinction: fund selection driven initially by specific strategy exposure (i.e., a fund for each exposure bucket) may not produce the most consistent overall results. Identifying funds first by long-term consistency may do just that. Strategy diversity then inherently follows.

This idea, which is explained in the annual report, was the theme of a White Paper I co-wrote with Ben Crawford, head of research at Backstop BarclayHedge. That report was entitled: Challenging Convention.

Global Investment Report – Eric: Whether expected or not, the findings have been clear for many decades. Discard the notion of Headline Risk. That handicaps the selection process and builds in an undesirable bias–if consistent returns are the goal. However, this may not be possible for many allocators. But I believe a primary focus on headline risk helps explain why institutions like CalPERS struggled with hedge funds.

Second, robust and consistent due diligence–essential in selecting a hedge fund–should mitigate concerns about looking at lesser-known managers.

Third, there’s nothing wrong with investing in well-established big-name funds, if they are still open. But you will likely pay much more to be in them and your access to the PM will be limited if not impossible. That’s typically not the case when considering smaller managers.

Global Investment Report – Eric: Blue Diamond Non-Directional, the 23^rd-ranked Swiss-based statistical arbitrage fund, has been a perennially strong performer, averaging yearly gains of more than 14% since its launch in 2011. But it got tagged around the same time President Trump announced his tariffs. It has nearly made up all its double-digit losses as of the end of November. But it will struggle to exceed next year’s hurdle rate.

Same goes for Jason Mudrick’s distressed fund, which has been running higher volatility than normal over the past couple of years. This metric may have foreshadowed his 2025’s large drawdown. Still, the 28^th-ranked fund’s current loss of -17.5% is out of character for a manager that has generated 5-year annualized gains of 12.2% and 11.3% since its inception in 2009.

Whether theses funds have lost their all-season touch requires a deeper dive by potential investors to see if there has been any material change to key personnel or investment processes which drove these drawdowns.

The late Kent Clarke, who was co-chief investment officer of the Alternative Investments & Manager Selection Group and head of Hedge Fund Strategies at Goldman Sachs, always reminded me that one only rents hedge funds, and rotation was always part of the investment process.

Through my survey, I’ve been seeking to show it’s possible to find long-term consistency. I guess these findings show the merit of both arguments.

Global Investment Report – Eric: Here are just several traits:

1. A clear well-articulated strategy and return target;
2. A demonstrated passion for investing, a deep curiosity about how enterprises work and don’t work, and a deep commitment to sticking to a precise investment process.
3. A talented team that works well together with no fear of healthy open debate.
4. Ability and desire to research investments in person to learn about their people and operations.
5. Ability to identify the limits and weaknesses of a fund. All funds have them. Find out if PMs know how to deal with these issues when they arise.
6. Owners having skin in the game, along with timely and meaningful investor communications, are always good signs of LP and GP interests being aligned.
7. An investment rotation process that regularly takes profits, avoids frequent upward re-marking of price targets, and reinvests in the latest best ideas.
8. Disciplined stop-loss processes are often in place. These managers don’t ride down losing trades, though, they may trade around them. And if an investment thesis remains sound, PMs consider reestablishing positions. 

NilssonHedge – Linus: Your note highlights funds that have made your survey seven years in a row. Are there funds that are nearly as consistent, but didn’t make this cut?

Global Investment Report – Eric: Yes. And the sheer fact that these funds didn’t make the short list shouldn’t be seen as a mark against them. Some were not old enough to qualify; other times I may not have had access to historic fund data; and then there are some that may have had an off-year that some investors might tolerate, but which my methodology does not.

Here are some funds in that camp worth looking at. Two dominant themes emerge: credit and emerging markets.

Note: I’m not recommending any fund in this Q&A or in my annual report. But I am suggesting names that may be worth a deeper look.

8 Voss Capital Equity Long-Short

18 Context Partners Convertible Arbitrage Relative Value

19 Enko African Debt African Debt

27 BlueBay EM Credit Alpha Emerging Markets Credit

29 FengHe Asia Asian Emerging Market Equity

30 BlueBay Event Driven Credit European Credit

37 Waha Emerging Market Credit Emerging Market Credit

39 Boothbay Absolute Return Multistrategy

41 CRC Bond Opportunity Credit

42 Hudson Bay Multistrategy

8	Voss Capital Equity Long-Short
18	Context Partners Convertible Arbitrage Relative Value
19	Enko African Debt
27	BlueBay EM Credit Alpha Emerging Markets Credit
29	FengHe Asia Asian Emerging Market Equity
30	BlueBay Event Driven Credit European Credit
37	Boothbay Absolute Return Multistrategy
39	Boothbay Absolute Return Multistrategy
41	CRC Bond Opportunity Credit
42	Hudson Bay Multistrategy

Global Investment Report – Eric: Most hedge fund managers won’t respond meaningfully to this question mainly because they are focused on near-term opportunities and believe they can move out of the way and profit from a negative turn in market sentiment, even though managers rarely time these things just right.

David Einhorn’s Greenlight Capital may be an example. He performed very well during a rough first quarter. But his cautious stance resulted in a flat performance YTD thru September. Since then, markets have largely gone sideways and the fund has since rallied and ended November up 5.95%.

Allocators are a little more transparent in discussing these fears. Several European groups are lightening up on US assets as high valuations, continued transparency, and certainty about free markets are being challenged. Some are increasing their European exposure as governments lift spending constraints and many companies are getting upwardly rerated.

But when asked to show that shift in overall portfolio weighting, the response is more nuanced. In some instances, I’ll find a move away from US market-cap weighted index exposure to equally-weighted index exposure. I suppose that’s a way of reducing exposure to the Magnificent 7 and shifting to more value-oriented mid-cap exposure.

The more material change I’ve heard from allocators is increasing exposure to market neutral strategies and portable alpha. But I’m also hearing about rotation into strategies like Chinese stocks, which sounds like momentum chasing.

Bottom line: If markets become jittery, most risk-on investments will get tagged. But these managers should sell off less than the market.

NilssonHedge – Linus: Eric, always a pleasure to have you here. Thank you very much for your highly regarded report. More of Eric’s work can be found here.

First of all, best wishes for 2026! The start of the year certainly started with a bang.

As part of our annual exercise, we have now reconstituted our daily indices and reformed them for 2026. These are largely based on public US vehicles and do not always mirror their counterparts in other domiciles or with monthly liquidity.

As a new index for 2026, we have also decided to track the CTA ETF community, a new way of distributing the strategy to primarily retail investors. To give the index a bit of history, we backtracked performance for 2025, which we may remove at a later stage, given sufficient history. Our preliminary observation is that this is largely the same as the Daily CTA Index, highly correlated, and marginally better results. Currently, we are tracking 14 different ETFs. The index is currently in beta phase, and we may change a few funds within the first 30 days. For the time being, this index can be tracked via the CTA Index page.

To check out the index developments and results, please click the respective button below.

You can download the data directly from each page by freely “purchasing” the download from the store.

The number of daily funds we are tracking has declined somewhat. The largest decrease seems to have happened in the Equity LS segment, closely followed by daily liquid CTA mutual funds (which have partially moved to the ETF segment). Crypto strategies have gone full cycle.

We will also be reconstituting the monthly indices on the 31st of January. Please ensure that we have your December 2025 return before the end of the month. If your strategy is not listed, please submit it here.

Based on the most recent return data that we have available, we can provide a comprehensive overview of the top-performing and bottom-performing strategies for each category, taking into account both monthly and yearly results. Our analysis is based on proprietary composite data streams that we have compiled, but we must note that there is always the possibility of errors or inaccuracies in our calculations.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Better late than never, we apologize for the delayed reporting. Based on the most recent return data that we have available, we can provide a comprehensive overview of the top-performing and bottom-performing strategies for each category, taking into account both monthly and yearly results. Our analysis is based on proprietary composite data streams that we have compiled, but we must note that there is always the possibility of errors or inaccuracies in our calculations.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Based on the most recent return data that we have available, we can provide a comprehensive overview of the top-performing and bottom-performing strategies for each category, taking into account both monthly and yearly results. Our analysis is based on proprietary composite data streams that we have compiled, but we must note that there is always the possibility of errors or inaccuracies in our calculations.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Based on the most recent return data that we have available, we can provide a comprehensive overview of the top-performing and bottom-performing strategies for each category, taking into account both monthly and yearly results. Our analysis is based on proprietary composite data streams that we have compiled, but we must note that there is always the possibility of errors or inaccuracies in our calculations. Please do let us know if you find any errors at info@nilssonhedge.com.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

This article first appeared in HedgeNordic’s Systematic Strategies and Quant Trading.

One of the mythical qualities of a trend-based strategy is that it is a strategy with a positive Skew, which measures the asymmetry of the returns. It is not always trivial to interpret, depending on the actual shape of the distribution. 

Skew describes the asymmetry of the shape of the distribution. Positive Skew is the tendency to see larger positive returns and smaller negative returns. Negative Skew is the tendency to observe larger negative observations and smaller positive gains. 

In layman’s terms, skewness suggests a distribution with occasional large gains and relatively smaller losses, whereas negative skewness indicates the opposite: steady gains punctuated by rare but severe losses. In technical terms, it is the third standardized moment. Skew is not a return measure, only a description of the return distribution.

The return distribution of a trend strategy is expected to have a ‘fatter’ right tail. But maybe not always in the way investors expect. 

During the golden days of Hedge Funds (pre-2008), positive skewness was an argument often used to motivate an increased allocation to Managed Futures strategies. Especially as other Hedge Fund strategies exhibited negative Skew. 

Expecting a positive Skew from momentum-based strategies is reasonable on a trade-by-trade basis, i.e. when looking at the return of individual trades, entry to exit. As we will show, it is not true when looking at the daily portfolio returns and seems to get worse over time. We build our own trend replication strategies, and we also look at a few of the daily indices that are available. 

As an investor and a trader, we know that CTA strategies often have large negative daily returns. Something that can come as a shock to investors. 

Trade by Trade statistics are seldom available or even of interest to the individual investor. If a manager has an extraordinary multiyear trade in Cocoa, Sugar, or Coffee it is great for the total return, but does not generally change the shape of the observable distribution. 

The Term Structure of Skew

As an illustrative Trend Strategy, we build a standardized breakout strategy. We use a portfolio of 86 liquid futures, diversified over Equities, Fixed Income, Currencies, and Commodities. Over this portfolio, we apply a breakout strategy with a variable lookback. We start with 2 days and run this strategy all the way up to 256 days, creating 15 different return streams. 

The distance between lookbacks is based on the square root of 2. While this seem overly specific, this also ensures that we have a reasonable degree of diversification between two adjacent portfolios.

The breakout strategy buys higher highs and sells lower lows, as measured over the last N days. 

The average holding periods here range from a week to close to two years. Breakouts are easy to conceptualize, and the results generally hold for other common measures of trend direction. The shorter breakout typically does not have positive (simulated) returns, partly illustrating that markets have different behaviors over longer and shorter horizons. 

We calculate the rolling yearly daily skew of the strategy, highlight the median skew, and the upper and lower quartiles. We can verify some earlier academic results, i.e. the term structure of skew is downward sloping for momentum strategies. The longer the holding period, the more negative skew we realize, and vice versa. 

To ensure that this is not an artifact of daily returns, we run the same calculations using monthly data. The results hold, with a downward sloping Skew term structure, but the best monthly skew is obtained for the 4-day breakout strategy, creating a slightly humped term structure. Skew turns negative on a 64-day breakout horizon rather than the 16-day breakout using daily data. Monthly returns hide a lot. 

Reality Check

As a quick reality check, we calculate the average daily skew of the two fastest breakout strategies (2 and 3 days) and the two longest (181 and 256 days). We compare this to the skew of a composite of different daily CTA indices. 

A trivial observation is that with a brief exception of an episode during 2017-2019, faster momentum strategies realized a larger positive skew. The realized Skew for shorter strategies is increasing since Covid. On the contrary, longer-term strategies have realized a negative skew, with a few exceptions. It is also getting increasingly negative. 

As our Breakout strategies are not ‘real’ CTAs, we calculate the same statistics based on daily returns from large CTAs. We note that this ratio is getting increasingly negative, and even more negative than what would be indicated by Breakout strategies that hold positions for years. 

As a side note, there are some other tricks that can achieve a higher positive skew for trend strategies. For instance, continuously adding exposure to an existing trend position. If the trend continues, the portfolios get increasingly exposed to a trend with strong positive drifts. That said, it is occasionally a bit difficult to combine with a sound risk management policy. 

Summary

While Skew may seem to be an esoteric measure, it has often been used as an argument for why Trend Following strategies should be included in a portfolio, i.e. the chance of obtaining large positive returns during market dislocations. 

Our analysis also shows that the choice of time frame tends to influence Skew. Shorter-term momentum strategies tend to exhibit more persistent positive Skew over time and do not suffer from a similar deterioration over the last five years. Other short-term strategies may have completely different skew properties. This result for such strategies is however outside the scope of this short article. 

The term structure of Skew is not a new observation and has been raised in previous academic and industry papers. The recent decreased Skew for Managed Futures managers could mean several different things:

1. Large managers are often involved in crowded trades, suffering larger negative returns when positions are liquidated. 
2. Managers are more often exposed to markets with an inherent negative skew. An example here would be an increased exposure to long equity or short volatility positions that tend to be negatively skewed. There is nothing wrong with this exposure, but they may imply a different dynamic than expected.
3. Trend Managers have gradually gravitated towards slower and slower trading strategies. If nothing else, this typically increases capacity.

Based on the most recent return data that we have available, we can provide a comprehensive overview of the top-performing and bottom-performing strategies for each category, taking into account both monthly and yearly results. Our analysis is based on proprietary composite data streams that we have compiled, but we must note that there is always the possibility of errors or inaccuracies in our calculations.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

April was the crisis that wasn’t. A vicious V-shaped equity reversal created difficult trading conditions for more than one trend-based CTA strategy. We saw prior winners give back substantial amounts of their earlier profits. On the flip side, we have also seen a few non-trend, discretionary-focused managers able to profit from the crisis. Please feel free to dive deeper into the hit list for April 2025. The full list requires user registration.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

April was a strange month. We saw dramatic moves after the US Liberation Day, which wreaked havoc in the Equity, Bond, and Currency markets. The S&P dropped 10% in a dramatic unwind of global stability, only to show a large positive day a few days later. Several of the most destabilizing policies were later walked back, delayed, or clarified as bond yields started to increase, showing increasing uncertainty. In the end, the most significant Trade Policy is the remaining Chinese tariffs where others have been modified or delayed.

At the end of the month, April showed a modest decline across most equity markets, but with dramatic intra-month volatility. Not acting provided the right decision, despite the increased uncertainty that prevailed throughout April.

Webinar Invitation: Join our Webinar / Navigating the Storm / An ODD Seminar on the 6th of May: https://streamyard.com/watch/FUSZjHbwXDyu
For a full list of panelist see our earlier post: https://nilssonhedge.com/2025/04/30/navigating-the-storm-odd-seminar/

Looking across strategies in April, it seems like CTA, and especially Trend Followers, reduced equity market risk dramatically in the first few days of the correction. As the correction was ‘V’-shaped, with hindsight, this was the wrong decision. Slower strategies might have done a bit better as the frequency did not disturb the strategies.

For April, based on our Daily Indices, we note that CTA diverged from the rest of the strategies that mostly kept their positions. Crypto was the exception, with some of the meme coins having dramatic positive performance.

Crypto: +9.3%

CTA: -5.2%

Equity LS: -0.7%

Equity Market Neutral: +0.8%

Event Driven: -0.1%

Acknowledging reporting biases and that we are only a few days into the month, the above results are mirrored by the daily indices, although with different magnitudes (strong results likely to be reported early). CTA at the bottom, and Crypto strategies at the top.

For CTA engaging in short volatility strategies, we saw generally negative performance with dramatic VIX spikes. We have noted that a few of the larger managers stopped reporting or shut down funds during April. Trend strategies will have a negative skew, with the results expected to decline as we get more managers.

Looking at the few Managed Futures managers that have reported, we see some long volatility, tail hedge strategies, but also some of the Discretionary Macro strategies at the top of the performance rankings.

For CTA the dispersion was likely very high. And the bottom quartile manager recorded a loss that was on par with other dramatic months in the Managed Futures history. Jan 18 is still the worst over the last seven years. At least, positions are cleared out and managed are well adapted to catch on new trends as Trade Policy is further clarified.

Operational Due Diligence doesn’t always sound like a particularly exciting topic. But it’s the backbone of all successful investing, especially in hedge funds. And when it’s not done well, mistakes happen. Effective ODD can help allocators sidestep all sorts of landmines, which often reveal themselves when things get stressed — like what we’re seeing now.

Together with Eric Uhlfelder and Anna Niziol, we are hosting an ODD Webinar on Tuesday May 6 at 10.30 EST. We have assembled a very experienced panel of experts who don’t pull their punches.

This group includes Olga Romanova, Director and Head of Operational Due Diligence at A&C Advisors LLC. Previously she held key operational rolls at GAM, AXA, and IAM.

Matthew Stiling, a senior ODD analyst at Investcorp-Tages, previously worked at Kedge Capital, CQS, TwentyFour Asset Management, and Wells Fargo.

And Nadia Salih, senior ODD analyst at Kedge Capital, worked for Cardona (now Mercer), Marwyn Capital, and GSA Capital.

Hope you can join! Sign up here: https://streamyard.com/watch/FUSZjHbwXDyu

March Performance may not matter that much anymore; the defining moment will be April’s performance. For CTAs, gold-focused strategies have shone, while the average Trend-Following strategy has performed negatively. We also note several large names on the top five list.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Over the last couple of days, for obvious reasons, there have been many significant market moves. Equities and Bond yields are down massively, as markets are pricing in increasing odds of a US/Global recession. So far, it looks bleak for Trend Followers, somewhat reminiscent of the Covid Crash. Dispersion will be high in April, where stops, trading frequency, and sector allocation will determine the outcome.

One can argue as the Trend Following space has moved to longer time frames, the daily immediate response to a crisis is no longer there.

Pretty much all hedge fund strategies have taken a beating in the current market environment.

We have limited fund data so far, but as part of the universe that we observe, both Thursday and Friday look to have been difficult for trend-biased managers. Both days were characterized by large equity moves, but also some truly large moves in Currencies (i.e. the Swiss France, and the Australian Dollar) and Commodities (e.g. Crude Oil on the back of OPEC).

We estimate that CTAs (here low risk trend) are down 3.6% for the month, and down 5.8% for the year, including Friday the 4th. There is clearly a lot of month left, and if markets continue to sell off, there is certainly some profit potential from trends.

Looking at individual CTA managers for Thu/Fri, very few of them managed to come out positive. Any trader making money over the two days is above average.

Looking at sector data, we note that CTA got the right positions in Fixed Income, but wrong-footed in Equities and Currencies. Equity exposure has trended down but was still long about 10% on Friday’s close. Fixed Income exposure was too low to offset anything significantly.

Should you wish to follow the drama on the Global Markets and the impact on liquid Hedge Funds, please have a look at our daily indices. It is free to download and use.

Daily Hedge Fund Indices

Based on the most recent return data that we have available, we can provide a comprehensive overview of the top-performing and bottom-performing strategies for each category, taking into account both monthly and yearly results. Our analysis is based on proprietary composite data streams that we have compiled, but we must note that there is always the possibility of errors or inaccuracies in our calculations. Double check your numbers before taking that victory lap.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To explore the full list of Market Neutral strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

2025 Update and Outlook

A revealing discussion of how the most intriguing hedge funds performed last year and a look at the opportunities and risks that lay ahead.

Hi Eric, hope your year ended well and good to reconnect.  Looking at your year-end wrap-up, there’s clearly a lot to talk about. Let’s start with what were the key takeaways from how your Top 50 hedge funds performed last year?

Throughout 2024, I tracked how these funds performed quarter over quarter. This latest report provides final full-year 2024 performance numbers of these 50 hedge funds.

Collectively in 2024, the 50 (up 13.1%) kept pace with their 3- and 5-year annualized returns (12.3% and 13.7%), and their average returns since inception — with a mean fund age of 15 years (11.4%). More than 80% of the funds have qualified for the 2025 survey.

Are you concerned that your 50 significantly trailed the US market?

No.

The market has been on a crazy good run, outpacing its historic rate of return by 100% over each of the past two years. The last time the market had multiple 20+% years was followed by the Tech Wreck.

Even if such a correction doesn’t happen this time, alternatives are not meant to keep pace with a hyper market. They target more even returns.

Most investors should maintain significant market exposure. The Top 50 targets steadier, less volatile returns that over time closely track the market. The 5-year annualized returns of the 50 thru 2023, for instance, was 13.7%, just two percentages less than the market and these funds delivered these gains with a lot less risk.

When you dig deeper, what else did you find about the 50’s performance?

As we’ve been discussing recently, the big surprise was six emerging market funds that made the cut and were the best performing strategy from wire to wire through December 2024.

Two funds, Sandglass and Enko (both credit managers who had joined us in our EM webinar last fall) actually delivered market-beating returns. 

That said, I would still be skeptical. Both of these funds have seen drawdowns of 20%. However, these funds have each been around for a decade and ostensibly have stayed true to an effective investment process that has delivered consistent returns. Enko, in fact, has never had a down year.  

Any other funds stand out?

Is the fund at risk of mean reversion this year?

Over its 16 years, the fund has had three distinct years of 20+% returns and each was then followed by more modest positive gains. Being an idiosyncratic investor that embraces a disciplined investment process suggests that Mudrick knows how to sustain returns after a strong year. It certainly doesn’t hurt with $5.5 trillion in junk bonds overhanging the distressed market and likely offering plenty of opportunities from which to invest.

Sounds like credit was a leading strategy in your Top 50.  Did any other strategy stand out?

Hedged equity, multistrategy, and macro jointly averaged around 12%. These are decent returns for underlying funds that have delivered long-term consistency across all markets.

In these groups, the big names did shine. Citadel Tactical Trading (equity) returned 22.3%. Point 72 (multistrategy) delivered gains of 18.6%. And macro trader D.E. Shaw Oculus soared by more than 36%. All these funds significantly outperformed their historical rates of return.

Any other surprises?

Yes, and they were on the downside. Waha MENA equity, like Mudrick Distressed, has regularly made the Top 50. Mohamed El Jamal’s Abu Dhabi-based fund had ascended to the No. 6 ranking with trailing 5-year annualized returns through 2023 of 20.6%. But it struggled all last year, gaining just 1.6%.

Making this doubly surprising was that El Jamal’s Waha EM Credit fund racked up gains of 18.4% last year.

The other big underperformer was noted activist Starboard Value. The fund has been around for more than two decades with annualized returns of 13.5%. It managed a gain of just 4.2% in 2024.

You mentioned returning home in January to a different America. What do you mean?

Despite the pandemic, supply chain shocks, inflation, rising interest rates, and war, the US economy has been remarkably resilient. But the new administration is stressing it in new ways that no one has ever seen before.

We’re seeing the administration break foundational rules and norms. Congress seems OK ceding over its policy and budgetary authority without regard to process or consequences. We’ll soon see what the courts think given the many challenges being brought against Trump and if the administration will abide by unfavorable court rulings.

The Supreme Court’s very recent decision to hear a case where lower Federal courts ruled the administration had to pay foreign aid contractors who have already completed work will be a bell-weather decision.

What other risks do you see?

I think it’s too early to interpret 2025 data points. But collectively, many are pointing in the wrong direction. That includes from inflation and consumer sentiment, insider-selling, and Europe’s significant outperformance over US stocks.

We’ll need to watch if and how far these trends evolve.

For sure it hasn’t been profitable to bet against the US. But there’s no reference point to gauge the effect of what’s going on right now.

Do you think the new administration’s actions will directly affect the economy and markets?

Lars Christensen is a well-regarded Danish economist who I interviewed several years. In assessing what’s going on, he sees, “a historically unprecedented administrative collapse at the top of the American state. The financial markets will react strongly to this”.

And internationally?

If Europe decides to fast track expansion of its arms industry, this will redirect spending inwardly and away from the US. Germany’s next Prime Minister Friedrich Merz just said, “The absolute priority will be to strengthen Europe as quickly as possible so that, step by step, we can really achieve independence from the US.”

If Europe decides to fast track expansion of its arms industry, this will redirect spending inwardly and away from the US. Germany’s next Prime Minister Friedrich Merz just said, “The absolute priority will be to strengthen Europe as quickly as possible so that, step by step, we can really achieve independence from the US.”

Bret Stephens of the New York Times summed things up this way:

“But if it’s a financial payback that the Trump administration seeks, the best place to get it is to seize, in collaboration with our European partners, Russia’s frozen assets and put them into an account by which Ukraine could pay for American-made arms. If the United States won’t do this, the Europeans should: Let the Ukrainians rely for their arms on Dassault, Saab, Rheinmetall, BAE Systems and other European defense contractors and see how that goes over with the “America First”-ers. Hopefully that could serve as another spur to Europeans to invest, as quickly and heavily as they can, in their depleted militaries, not simply to strengthen NATO but also to hedge against its end.”

What are your sources telling you about all this?

On the record, everyone I’ve been speaking with is putting on confident faces. But privately, many are baffled and are just hoping that common sense prevails.  I don’t see that happening because Trump this time has intentionally surrounded himself with folks who either aren’t experts in their fields or unwilling to challenge his thinking.

I suspect if there isn’t a return to more thoughtful policies and norms, investors may begin to reduce risk taking which could in turn further slow growth.

Citadel’s Ken Griffin, a key Trump ally, says, “it’s a difficult time to invest because of the policy uncertainty that goes on with this (administrative) transformation.”

Thanks Eric, good to have you here again. You can find more of Eric’s writing here.

While the year is still young, we have compiled the best and worst strategies for January 2025. Please do not infer too much from this single data point. Some strategies are continuing to deliver impressive returns (the recent Cocoa reversal may have changed those numbers…). Some prior losers delivered impressive results in January.

Our analysis is based on proprietary composite data streams. NilssonHedge is responsible for the compilation. We must note that there is always the possibility of errors or inaccuracies in our calculations.

CTA

To explore the full list of CTAs and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Market Neutral

To see the complete list of Market Neutral strategies and their rankings, along with updates as new data comes in, please visit our website at the Link.

Equity Long Short

To explore the full list of Equity Long Short strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Event Driven

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Fixed Income

To explore the full list of Event Driven strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Risk Premia

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Crypto Strategies

To explore the full list of Risk Premia strategies and their rankings, including dynamic updates as new data becomes available, we invite you to visit our website at the Link provided.

Behind the scenes, we have reconstituted our indices, adding new members to all of them. Both the ones that are on the website, and the indices that are only available via the download options (e.g. a further breakdown of Commodity Specialists). Each index has fully disclosed members that can be viewed on our website.

While we observe an increasing number of managers in most of the indices, we also note a decline in the managers that are part of the diversified CTA index. We believe we track a significant part of the managers, but that were delays in reporting final numbers. Our current count of CTAs reporting is back to 600+ in the main database. However, the method to construct the indices remains strict, we only include managers where we have December data at the end of January.

A trend that seems to be more substantial, is the decline of commodity specialists. These have to a larger degree been insourced by various multi-managers/pod shops. In particular, Systematic Commodity managers had a difficult year as several ‘Alternative’ market managers got whipsawed in the less liquid markets.

Indices can be downloaded for free here (you need to be registered): https://nilssonhedge.com/my-account/free-data/

The collection of returns and managers continues to grow. Currently, we have 587k monthly return observations sourced from over 15k unique sources.