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Analysing and Comparing the Performance of Different Strategies using NilssonHedge Database

We find 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 of the NilssonHedge database between the time period 1st March 2020 to 31st March 2021. Please note that NilssonHedge database, composed by over 1500 assets, is complementary with the AlternativeSoft license.

The selected assets had full track record for the period selected. For each of the strategies analysed we relied on Annualized Return, Annualized Volatility and Annual Sharpe Ratio.

The best performing strategy was by far Crypto funds (151 in total) with an annualized return of 269.94% and an Annual Sharpe Ratio of 3.13. But it also had the highest annualized volatility at 79%. The second-best performing strategy was the Equity Long Short which generated an annualized return of 14.83%, with annual volatility of 14.85% and an annual Sharpe Ratio of 1.01.

The worst performing strategy was the Risk Premia. It generated annualized return of -3.04% and it has a negative annual Sharpe Ratio of -0.48.

For more information on the other strategies, please refer to the table below.


Table 1: Performance of strategies

Strategy N Annualized Return Annualized Volatility Annual Sharpe Ratio
Crypto 151 269.94% 79.55% 3.13
Equity Long Short 278 14.83% 14.85% 1.01
Long Only 77 14.14% 18.06% 0.75
CTA 576 12.94% 15.50% 0.69
Asset Allocation 136 11.56% 13.82% 0.80
Event Driven 46 9.16% 10.44% 0.85
Fixed Income 122 6.84% 9.32% 0.94
Hedge Fund 68 6.50% 9.66% 0.70
Market Neutral 73 2.12% 6.93% 0.43
Risk Premia 36 -3.04% 9.26% -0.48
Sources: AlternativeSoft and NilssonHedge

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N.B. This article does not constitute any professional investment advice or recommendations to buy, sell, or hold any investments or investment products of any kind, and should be treated as more of an illustrative piece for educational purposes.


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