Kettera Strategies Heat Map - January 2022

Quantitative Macro Programs

While the popular industry benchmarks for the global macro sector may not reflect this, for those managers in this Hydra style bucket January was a very impressive month. For the first time in a while, the FX sector appeared to be the area of more fertile returns, rather than the perennial favorite, the commodities sector.  In FX the major currencies seemed to be where most of the profits were generated from the major currencies (vs emerging), where PPP, yield curve shifts, and other longer-term “value” oriented metrics seemed to rule the day. Fixed income and equities indices were mixed depending on the program, while commodities – also generally mixed – tended to bring net positive returns.

Systematic Trend Programs

For the Systematic Trend sector, most of the winning positions across the board were long crude oil, long agricultural markets, and short positions in fixed income and interest rates. All in all, January could’ve been summed up as the “inflation-fueled” month for systematic managed futures strategies. If a manager had a notable setback it tended to be in long equity index positions, although long fixed income positioning and long precious metals positions were challenging also.   

Industrial Commodities Specialists

Directional positioning seemed to perform relatively well. Unlike previous months, managers specializing in spread and relative value trading tended to struggle in January – particularly in the energy markets (namely crude oil). That said, the Hydra platform’s lead metals specialist generated returns on its spread/RV positions. 

Shorter-Term Strategies

Short-term and higher-frequency strategies were a mixed bag in January. For many diversified ST strategies, the fixed income markets provided the best opportunities during the month, benefitting from the early-month spike in yields. Although equities indices whipsawed across days and intraday, those ST systematic programs focused on equities managed to capitalize on the short side of the market during the month. In stark contrast to some other strategies in January, FX was less than kind to most short-term systems – largely due to mid-month bullish reversal and an end-of-month bearish reversal in the USD.

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Kettera Strategies

Notes:

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.

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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