LONDON--(BUSINESS WIRE)--We found that Hedge funds investing in Crypto have had the highest Annual Sharpe Ratio between 1st of March 2020 and 31st of March 2021.
AlternativeSoft analysed and compared 1563 Hedge Funds that comprise the NilssonHedge database between the time period 1st March 2020 to 31st March 2021. The best performing strategy was Crypto with an annualized return of 269.94% and an annual Sharpe Ratio of 3.13. The second-best performing strategy was the CTA which generated an annualized return of 12.94%, with annual volatility of 15.5%.
The worst performing strategy was the RiskPremia. It generated negative annualized return of -3.04% and it has an annual Sharpe Ratio of -0.48.
Table 1: Performance of the Nilsson hedge funds database from 01March2021 to 30March2021
Strategy |
N |
Annualized Return |
Annualized Volatility |
Annual Sharpe Ratio |
Crypto |
151 |
269.94% |
79.55% |
3.13 |
CTA |
576 |
12.94% |
15.50% |
0.69 |
AssetAllocation |
136 |
11.56% |
13.82% |
0.80 |
Event Driven |
46 |
9.16% |
10.44% |
0.85 |
Hedge Fund |
68 |
6.50% |
9.66% |
0.70 |
Market Neutral |
73 |
2.12% |
6.93% |
0.43 |
RiskPremia |
36 |
-3.04% |
9.26% |
-0.48 |
Soure: Nilssonhedge, Alternativesoft
We also analysed each of the assets within the strategies. Table 2 shows that out of 151 Crypto assets, the Napoleon Crypto Dynamix ETH-BTC-USD AR Hourly had the highest annual Sharpe Ratio at 12.75. The second highest Annual Sharpe Ratio was at 7.10 from the Crediton Hill Managed Account from the CTA strategy.
Table 2: Best annual Sharpe ratio hedge funds within each strategy
Strategy |
Fund with Best Sharpe Ratio per Strategy |
Annual Sharpe Ratio |
Crypto |
Napoleon Crypto Dynamix ETH-BTC-USD AR Hourly |
12.75 |
CTA |
Crediton Hill Managed Account |
7.10 |
Asset Allocation |
Hundredfold Select Alternative |
5.02 |
Market Neutral |
Aegon Global Equity Narket Neutral |
4.39 |
Event Driven |
Formue Nord Formue Nord Markedsneutral AS |
4.18 |
Hedge Fund |
JPMorgan Multi Manager Sustainable |
3.61 |
Risk Premia |
Credit Suisse Asset Management Liquid Alternative |
1.89 |
Source: Nilssonhedge, Alternativesoft
In conclusion, we found that Crypto has clearly outperformed the other strategies in term of Annualized return and Annual Sharpe Ratio since the 01Mar2021 while RiskPremia being the worst.
N.B. AlternativeSoft produces one monthly free Excel workbook with 1560 hedge funds and their statistics. In addition, on the same web page, a free fact sheet for each of these 1560 hedge funds downloadable from its website here: https://www.alternativesoft.com/free-content.html