Linus Nilsson is the founder of NilssonHedge, one of the most comprehensive and transparent hedge fund and CTA databases in the world. Based in Amsterdam, NilssonHedge tracks over 2,000 active strategies and more than 2,000 graveyard strategies, covering systematic CTAs, equity long-short, market neutral, and related approaches. Nilsson brings nearly two decades of experience as an allocator, both privately and institutionally, and served as CIO of a smaller European CTA before founding the database.
The episode is a practical masterclass in how to think about CTA data: what it measures, what it conceals, and how allocators and systematic traders should use it. Nilsson is candid about the limitations of standard performance ratios, a theme that connects directly to his work on the NilssonHedge benchmarking report. His view that complex ratios often tell you less than a careful examination of the underlying return stream challenges the industry’s tendency to reduce a trading programme to a single number.
The Nilsson Hedge database feeds directly into the TTU Trend Following Index used in ATS’s monthly Trend Following Performance Report, making this episode particularly relevant for regular readers of that publication. Understanding how that data is collected, aggregated, and interpreted is essential for any serious student of CTA performance. The conversation also covers survivorship bias, the problem of instant track records, and how the database handles multiple share classes and currency variants.
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