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Kettera Strategies

Kettera Strategies Heat Map - February 2023

Systematic Trend Strategies

February was generally a good month for systematic trend followers. The key performance drivers appeared to be the opposite of what worked in January: Fixed income and short-term rates seemed to be the best sector, while precious metals was the most problematic. Many, if not most, of the trend programs we track generated gains from short North American and European bonds. However, many also entered the month generally long the metals complex – positions that got hit hard as many markets (e.g., Gold, Silver, Nickel) reversed into a sell off. Systematic trend programs also started the month with long positions in other commodities as well, many of which also reversed (e.g., Wheat and Corn). That said, some managers separated from the pack by catching the downward reversals (particularly those in grains), as well as some long soft commodities positions.

Discretionary Macro Strategies

February was a mixed bag for discretionary global macro players. The only common themes among the various programs we track appeared to be that winning positions were dominated by short Equities indices and long USD (versus various currencies). So it was really other exposures, particularly in the fixed income sector, that determined whether a manager finished the month profitable. The outperforming programs tended to call the yield curve right in February, while many (if not most) were  betting on a more “dovish” US Federal Reserve - and were surprised by the reversal from January to February. For those macro managers trading commodities, it was all over the map, depending on which commodity sectors the program focused on.

Commodities Specialists – Agricultural

The month was dominated by the late-month downward moves in corn, wheat, and the soybean complex. Wheat markets were probably hit the hardest. But ag traders’ returns were all over the spectrum, depending on how they navigated this general slide. Traders with long biases in these markets obviously suffered setbacks, and appeared to do so in both directional and spread positions – although there were exceptions: E.g. short spreads in soybeans due to good weather in the U.S. and Brazil. The livestock complex was a different story. Several of the programs we follow generated profits on long-biased spread positions in Live Cattle and Feeder Cattle as well as asymmetrical long-biased options spreads.

Currency Strategies

It was generally a good month for FX managers, particularly if one saw the shift in favor of the USD early on. Systematic (price- driven) programs responded as quickly as they could to shifting exchange rate differentials, pivoting from a short to long net U.S. dollar position versus G10 and emerging market currencies over the first two to three weeks of the month. The biggest winners for systematic managers appeared to be short positions in the Canadian dollar and Chinese renminbi , although those fortunate to have long exposure to the Mexican peso also generated profits. As for the more “macro-economic” managers, it was a bit more of a mixed bag, as the continued tightening by the U.S. Fed was seen as overdone, and therefore saw more potential for short (vs long) USD positioning.

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..

  1. Blend of Eurekahedge Macro Hedge Fund Index and IndexIQ Hedge Global Macro Beta Index
  2. The IndexIQ Hedge Global Macro Beta Index: (same link as above)
  3. The Societe Generale Trend CTA Index
  4. The Societe Generale Short-term Traders Index: (same link as above)
  5. The Barclay Hedge Currency Traders Index
  6. Blend of Bridge Alternatives Commodity Hedge Fund Index and Barclay Discretionary Traders Index
  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
  10. Blend of Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index and Barclay Hedge Fund Multi Strategy Index
  11. Eurekahedge Long Short Equities Hedge Fund Index
  12. Eurekahedge Event-Driven Hedge Fund 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

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