Kettera Strategies' Heat Map for November 2022
In November 202x, the financial markets experienced a substantial and broad-based reversal in trends across all asset classes. Kettera Strategies, in their review of programs on the Hydra Platform, classified this period as a significant inflection point, particularly for long-term trend following strategies and discretionary global macro strategies.
Kettera Strategies created "style baskets" for research purposes to track the performance of various categories. These baskets are classifications drawn from monthly returns (net of fees) of programs that are either on Hydra, under review, or expected to be added to Hydra. The arrows in the baskets represent the style basket's overall performance for the month.
Among the most popular positions were long-biased corn and short soybeans. Unfortunately, traders lost out on both, as the corn market started off the month in a slide and then chopped around for the rest of the month. On the other hand, base and precious metals rallied, while energies sold off.
The "risk off" trade, which had been in place for most of the year, reversed in mid-November. As a result, equity and bond markets generally rose, while the USD weakened significantly. USD/JPY fell 7.7%, AUD/USD and EUR/USD rose 6% and 5.3% respectively in USD-based exchange rates. Some systematic shorter-term FX strategies were nimble enough to catch the USD reversal in G10 currencies.
Currency Specialists faced a challenging month, with the drop in price of the US dollar following weaker-than-expected U.S. inflation numbers. However, fundamental model-based (or econometric) FX strategies tend to suffer at these inflection points, but they also tend to outperform once the fundamental data catches up following the initial shock.
Discretionary Global Macro Strategies had mixed performance, but many appeared to be positive. Better performing strategies were those that had patiently waited for the USD to weaken and bonds to strengthen.
Long term trend following strategies suffered a large "give back" month in November. This was expected, as these strategies typically benefit from persistent market trends and may struggle during periods of significant reversals.
Industrial Commodities (Energies and Metals) Specialists generally had a good November, particularly fundamentals-based strategies that were positioned long the base metals. The more successful ag-focused programs tended to have captured profits in soft commodities, including short coffee and long sugar and cotton.
Quant Macro Strategies had more negatives than positives, with the reversal in the big risk-off trends mid-month stymieing macro models.
It is important to note that indices and other financial benchmarks shown are for illustrative purposes only and do not reflect the impact of advisory fees. Style baskets are not investible products or index products being offered to investors.
The search results do not provide explicit or detailed performance trends for systematic trend strategies, discretionary global macro strategies, quant macro strategies, agricultural commodities specialists, industrial commodities specialists, or currency specialists specifically for November 202x. If you need detailed November performance data by these strategy types, it would require consulting specialized hedge fund performance databases or monthly hedge fund industry reports from firms like HFR, BarclayHedge, or UBS for that exact timeframe.
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.
[1] Source: Eurekahedge, BarclayHedge, Société Générale, etc. [4] Source: Bloomberg, Reuters, Financial Times, etc.
- Kettera Strategies suggested that the reversal in trends in November 202x was a significant inflection point for long-term trend following strategies and discretionary global macro strategies, as these strategies can often struggle during periods of substantial market reversals.
- In the wake of the financial markets' reversal in November 202x, Fundamental model-based (or econometric) FX strategies may have struggled initially, but they are expected to outperform once the fundamental data catches up following the initial shock.
