Kettera Strategies' October 2024 Heat Map: Insights into Trending Economic Indicators
In the dynamic world of macro hedge funds, Kettera Strategies recently conducted a comprehensive performance review of various style baskets for research purposes. The review, focusing on the month of October (20XX), offers insights into the performance of different strategies within the industry.
The style baskets were constructed using monthly returns of programs currently or formerly on Hydra, or under review with an expectation of being added to Hydra. The performance of these baskets was represented by arrows, indicating overall performance for the month. However, it's important to note that index providers may update their reported performance from time to time, and Kettera disclaims any obligation to verify these numbers or to update or revise the performance numbers.
The US dollar strengthened versus most G10 and emerging market currencies in October, a trend that had a significant impact on the performance of various strategies. Most of the discretionary macro programs performed poorly in October, largely due to fixed income underperformance. Conversely, most quant macro programs appeared to be positive, with model-driven programs outperforming price-based programs.
The energy sector results were mixed due to a sharp spike and quick sell-off in the oil market. Grain specialists, such as soybeans, corn, and wheat, performed well in October, while soft commodities, including cocoa, coffee, and sugar, faced a difficult month. Commodities were mixed, with precious metals being positive, while the agricultural sector was mostly negative.
FX programs performed well in October, with longer-term programs slightly outperforming shorter-term ones. Trend followers went long (yields falling) after the Fed signaled rate cuts mid-summer and subsequent 50 bps cut in September, but the turnaround in U.S. and European bond markets inflicted losses.
In the fixed income sector, systematic trend strategies had a negative performance in October, with fixed income being the underperforming sector. Shorter- and medium-term systems suffered setbacks as most went short the dollar back in September. Most longer-term systematic trend systems had long USD positions from mid-summer that started performing in October. Many discretionary macro programs were long precious metals, primarily gold, which was a positive performer.
The benchmark sources used in the review include a blend of Eurekahedge Macro Hedge Fund Index and BarclayHedge Global Macro Index, Societe Generale Trend Index, Societe Generale Short-term Traders Index, BarclayHedge Currency Traders Index, Bridge Alternatives Commodity Hedge Fund Index, BarclayHedge Discretionary Traders Index, BarclayHedge Agricultural Traders Index, Eurekahedge Commodity Hedge Fund Index, CBOE Eurekahedge Relative Value Volatility Hedge Fund Index, CBOE Eurekahedge Long Volatility Index, Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index, and BarclayHedge Multi Strategy Index.
It's crucial to remember that the indices and financial benchmarks used are for illustrative purposes only and do not reflect the impact of advisory fees. Also, it's essential to note that style baskets are not investible products or index products being offered to investors.
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. This review offers a valuable perspective on the performance of various strategies within the macro hedge fund industry, but it's always advisable to conduct thorough research before making any investment decisions.
The style baskets, constructed with data from programs in Hydra or under review, also included performance representations using technology-driven arrows. Furthermore, Kettera Strategies considered incorporating data-and-cloud-computing tools to analyze and monitor the performance of these style baskets in the future, potentially improving the accuracy and efficiency of their investment strategies in the field of finance and investing.
