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Kettera Strategies

Kettera Strategies Heat Map - May 2023

Currency Strategies

May was one of the strongest months for FX managers in the past year,  even while the choppy ranges in G7 currencies vs. the US dollar made trading difficult. The main theme in FX in May was of course the bull move in the USD. For the longer-term macro driven programs, the profitable theme appeared to be long the US dollar versus the Japanese yen and euro. That said, the outperforming managers were those fortunate enough to catch moves in certain emerging markets – e.g. long Mexican peso vs USD.

Discretionary Macro Strategies

It was a tough month many, but not all, of the discretionary fundamental macro managers that we follow. Most of the programs we track appeared to struggle with nearly every sector (especially fixed income), with the possible exception of FX positioning, which seemed profitable for many managers.  

Quant Macro Strategies

While this group didn’t seem to suffer in May as much as their discretionary brethren above, it was a mixed bag for these types of programs. Overall, the best trades for many model-driven macro programs seemed to be short European fixed income and short agricultural commodities. While many macro models at first appeared to catch the bearish move in US bonds, the short-term corrections upward at the start and end of the month threw many managers off their game in fixed income.   

Systematic Trend Strategies

May continued the theme started in April with another big positive month for most systematic trend programs. Unlike April, however, this past month showed a great deal of dispersion in returns across programs. In fact, there was often dispersion within a single sector (e.g., programs that favored long trends in North American and Asian equities fared better than those in European indices). Many programs generated profitable short positions in commodities markets, and the long US dollar moves vs. Euro and JPY. Not unlike April, the more short-term trend models under-performed in May. Fixed income trades were a mixed bag for systematic trend managers; most programs suffered setbacks in JGBs with the sudden sell-off, although short positions in US rates appeared to be mostly profitable for programs.

Commodities Specialists – Metals/Energies

The short basic generalization was that the energy managers we track appeared to do well, while the metals specialists struggled (yet again). The most profitable programs in this sector in May were the crude oil, natural gas and power traders – both relative value/spread programs as well as directional. The industrial metals markets, on the other hand, were less kind to commodities specialists focused on that sector.

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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