How to Compare Performance of Hedge Funds Strategies Using NilssonHedge Data by AlternativeSoft

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 31^st 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