Skip to main content
Kettera Strategies

Kettera Strategies Heat Map - August 2023

Systematic Trend Programs

August was a tricky month for trend-based systems, where several prevailing trends reversed mid-month and proved difficult for such programs. After Fitch downgraded the US sovereign credit rating on July 31, a “risk-off” mood moved equities lower while fixed income yields rose (prices dropped). On August 18, yields peaked and began to move lower - while equities rallied on the hopes that the Fed would halt rate hikes.  It seems that medium-term trend programs outperformed longer-term trend strategies through this choppiness.  While equities were the worst performing sector for such systems, the commodities markets, led by energies and ags, performed best. Many programs were also generally positive in the FX markets, as the US Dollar appreciated against most every G10 and emerging units.  Some programs also caught profitable rallies in sugar and cocoa.

Short-Term/Higher Frequency Strategies

We rarely comment about Short-Term trading programs as a style category, largely because the programs are so uncorrelated to each other, and performance so varied, that it is difficult to summarize a consensus. But it seems August was generally difficult for most programs, especially in equities, as choppy markets in most sectors and sub-sectors pushed models around both on the long and short sides. Like longer-term systems, the equities indices presented the most difficulty, and the commodities markets were not a mitigating factors here.  

Volatility/Options Strategies

So-called “long” and relative value volatility trading programs, notably those who perform well during equity and bond market sell-offs, appeared to have one of their best months in August. (We generally avoid commenting on “short” vol programs, those programs that sell volatility or options premium.) The first two weeks of the month saw equity indices decline.  Long put spread programs were able to capture enough gains in those weeks to offset losses that occurred during the second half of the month – when equities rallied.  Skew traders, those that take advantage of asymmetric pricing in put-call curves and implied volatility pricing, were also positive - taking advantage of mispricing caused by the higher volatility caused by the sell-off. 

Commodities Specialists – Metals & Energies

Industrial commodities programs that we follow were generally positive in August, led by natural gas traders and carbon traders.  Discretionary directional energy programs, largely based on fundamentals, outperformed systematic spread and relative value programs. Discretionary metals traders performed poorly, especially those with fundamentals-based long biases in base metals markets such as copper, aluminum and nickel. 

Currency Strategies

We saw a large divide in the performance of currency specialists in August. Short-term systematic programs appeared to struggle with the range-bound markets, especially in exchange rates involving G10 currencies. Longer-term systematic programs and discretionary-fundamental programs performed much better, as the US Dollar appreciated against most G10 and emerging markets during the second half of the month.

Kettera Strategies


Kettera Strategies


For the “style classes” and “baskets” presented in this letter: The “style baskets” referenced above were created by Kettera for research purposes to track the category and are classifications drawn by Kettera Strategies in their review of programs on and for the Hydra Platform. The arrows represent the style basket’s overall performance for the month (e.g. the sideways arrow indicates that the basket was largely flat overall, a solid red down arrow indicates the basket (on average) was largely negative compared to most months, etc.). The “style basket” for a class is created from monthly returns (net of fees) of programs that are either: programs currently or formerly on Hydra;  or under review with an expectation of being added to Hydra. The weighting of a program in a basket depends upon into which of these three groups the program falls. Style baskets are not investible products or index products being offered to investors. They are meant purely for analysis and comparison purposes. These also were not created to stimulate interest in any underlying or associated program. Nonetheless, as these research tools may be regarded to be “hypothetical” combinations of managers, hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any product or account will achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. one of the limitations of hypothetical results is that they are generally prepared with the benefit of hindsight. in addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. there are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results..

Benchmark sources:

  1. Blend of Eurekahedge Macro Hedge Fund Index and BarclayHedge Global Macro Index
  2. The Eurekahedge Macro Index
  3. The Société Générale Trend CTA Index
  4. The Société Générale Short-term Traders Index
  5. The Barclay Hedge Currency Traders Index
  6. Blend of Bridge Alternatives Commodity Hedge Fund Index and Barclay Discretionary Traders Index (for February only the Barclay index was used as the Bridge index was unavailable.)
  7. The Barclay Agricultural Traders Index: (same link as above)
  8. The Eurekahedge Commodity Hedge Fund Index
  9. Blend of CBOE Eurekahedge Relative Value Volatility Hedge Fund Index and CBOE Eurekahedge Long Volatility Index (same link)
  10. Blend of Eurekahedge Multi Strategy Asset Weighted Index and Barclay Hedge Fund Multi Strategy Index

Indices and other financial benchmarks shown are provided for illustrative purposes only, are unmanaged, reflect reinvestment of income and dividends and do not reflect the impact of advisory fees. index data is reported as of date of publication and may be a month-to-date estimate if all underlying components have not yet reported. the index providers may update their reported performance from time to time. Kettera disclaims any obligation to verify these numbers or to update or revise the performance numbers.


The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group

Content role

© The Sortino Group Ltd

All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency or other Reprographic Rights Organisation, without the written permission of the publisher. For more information about reprints from AlphaWeek, click here.