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Kettera Strategies

Kettera Strategies Heat Map - June 2023

Systematic Trend Managers: Long term trend following was positive in June, continuing the climb upward since the setbacks in March. In June, the equities sector led the way - largely with profitable long positions in Asian, European and N. American indices.  Fixed income (short US and European bonds and rates) and currencies (short USD vs. most G10 and EM commodity currencies) were also positive for most of the programs we follow. Positions in commodities, however, generally put a drag on performance, with whippy agricultural markets proving the most difficult sub-sector for trend signals, followed by setbacks in crude oil and natural gas.  Longer- and medium-term programs (and models) outperformed shorter term trend trading. One notable theme was the relatively outsized gains in Japanese markets, namely short JPY vs. USD and long Japanese equities.

Commodity Specialists – Agricultural: In June, traders saw expanded volatility among the grains markets, as increasing US dryness and drought concerns drove crop prices higher, only to see a sharp late-month reversal across the board, especially in corn, as wetter weather arrived later in the month. This was combined with a surprising end-of-month USDA acreage report that particularly affected corn (vs. soybeans) to the downside. Many of the programs we follow were short the grain markets coming into June, pulling back these positions by mid-month as the drought intensified, with many managers regretting this toward the end of the month as prices dropped. Thankfully, most of the ag commodities managers we follow maintained enough of a short position to end up positive by month-end -  when plentiful acreage numbers and yields pulled prices lower -  particularly in corn, which was a significant exposure for most programs. Relative value traders withstood the choppiness betters than directional traders. Long livestock (live and feeder cattle) continued to provide positive performance.

Commodity Specialists - Industrial Commodities: Industrial commodities experienced a particularly difficult month, driven by erratic US weather reports (largely affecting energy markets) and conflicting global demand for metals. In energy markets, a mild crude oil rally against prevailing macro demand weakness didn’t affect performance in either directional or spread trading too much.  Most emphatic and damaging to performance was trading in natural gas and power (electricity), where mild US weather gave way to intense heat in the southern and southwestern US states, leading to a sharp rally in natural gas and power. In metals, those fundamentals-based base metals traders that managed to stay net long, either in directional or long-biased spread positions, copper and iron ore fared well. In contrast, many managers also held long precious metals positions, struggling against weak demand and adverse macro forces in gold and silver, while platinum longs were punished by macro forces in South Africa.

Discretionary Macro Managers: June performance was mixed and skewed to the negative side, depending on the manager’s concentration and conviction. Discretionary macro trading is predominantly directional, and has become quite differentiated, with global Central Banks providing conflicting guidance. All this can lead to different movement in all regional asset classes. Of the programs we follow, those that were concentrated on short interest rates (rising yields) and long global equities performed well, while those choosing to trade contrarian macro themes in financials and commodities had mixed results. Long precious metals (gold, silver, platinum) positioning, often taken as an inflation hedge, suffered losses, and in FX, those short commodity currencies suffered as the USD weakened against the South African rand, Brazilian real and Mexican peso.

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 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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