Kettera Strategies' Forecast Map - May 2021
In the tumultuous financial landscape of mid-2025, discretionary macro programs demonstrated a notable edge over their systematic counterparts, delivering stronger and more stable returns across various asset classes.
Grain markets in May were a rollercoaster ride due to unexpected U.S. acreage and yield reports, contradictory demand rumors, and a volatile environment. Amidst this chaos, discretionary managers outperformed model-driven programs, profitably navigating interest rate directional trades, FX positions, and sector bets.
The prevalent theme among systematic trend programs was that gains in FX and commodities outweighed setbacks in equities and fixed income. However, these strategies faced challenges, with traditional trend followers benefiting from currency and equity index trends but suffering from reversals in energy markets. Faster trend-following approaches, focusing more on equities and FX, outperformed, but trend models struggled during quiescent periods without clear trends and during sharp reversals.
Discretionary macro programs capitalised on these trends, with key performance contributors being interest rate trades, a short USD bias in FX against the Euro and emerging market currencies, technology and AI sector equity positions, and frontier market carry trades. On the other hand, systematic themes saw profitable trends in currencies and stock indices, but energy markets and interest rate allocations faced challenges.
Iron ore spot prices soared 25% in the first half of May, rewarding those nimble enough to take profits on their longs. Meanwhile, the way the USD weakened against most G10 currencies allowed for gains to be captured by most programs. Long precious metals (gold, silver), long selected bond markets (including long US TIPS), short Bitcoin, and scaled-back positions in commodities were common profitable themes for discretionary managers.
Bullish spread strategies in both crude and natural gas generally performed successfully. Relative value traders using calendar spreads and inter-commodity ratio spreads also fared better than outright directional strategies in grain markets.
In the realm of cryptocurrencies, the Barclay Crypto Traders Index is worth noting. Additionally, the CBOE Eurekahedge Relative Value Volatility Hedge Fund Index offers an interesting perspective for those seeking less directional strategies.
It is essential to remember that the views expressed in this article are those of the author and not necessarily those of AlphaWeek or its publisher, The Sortino Group.
In conclusion, discretionary macro programs, with their ability to adapt quickly to changing conditions and make thematic calls, delivered more consistent profits across asset classes during this period. Model-driven programs, however, experienced more volatility due to their inherent lag in adapting to sharp market reversals and lack of trends.
References:
[1] [Source 1] [2] [Source 2] [3] [Source 3]
- In the realm of finance and investing, technology companies and AI sector equities proved lucrative for discretionary macro programs, contributing significantly to their performance during the turbulent market period of mid-2025.
- Furthermore, while systematic themes in sports betting markets saw profitable trends in currencies and stock indices, they faced challenges with energy markets and interest rate allocations, highlighting the adaptability advantage of discretionary macro programs over model-driven programs.
