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Kettera Strategies Heat Map - April 2022

Currency Strategies

FX specialists experienced one of their best months in years, as sharp trends emerged as G10 central banks all took different paths on monetary policies. For most programs, the major winning positions included being short the euro, the yen and the British Pound against the USD. Of these, the USDJPY was the largest mover among the majors, given the policy divergence between the more dovish Bank of Japan and the US Fed, sending the currency above 130 USDJPY. The other large mover was USD vs the Chinese remnimbi. The so-called “commodities currencies”, however, such as the Australian and Canadian Dollars and the South African Rand, proved a bit harder to navigate as these currencies were driven by commodity prices more so that monetary policy over the month.  

Quant Global Macro

Most of the estimates we’ve seen point to a generally positive month for quant macro. Fixed income by far seemed to be the most lucrative sector – both in directional positions as well as relative value strategies. As interest rates moved steadily and quickly higher throughout the month, this benefitted net short-biased relative value trades. Gains in FX trading were primarily from short exposures in the Euro and Japanese Yen against the USD, although emerging and commodities currencies were a bit more challenging. In commodities, long crude oil and heating oil generated gains, although for some programs this was negated (in some cases completely) by losses in metals trading, where both base and precious metals trading proved tricky.

Systematic Trend Following

Longer-term trend following continued its streak in April, continuing on from a March that was the best month in years for this strategy class. It is interesting to note that the SG Trend Index is up over 26% for the year through the end of April. The most lucrative positions and markets appeared to consist of long positions in certain agricultural markets (e.g. Soybeans and Soybean Oil) and energy (e.g., Heating Oil), as well as short positions in global fixed income,  JPY and EUR vs. USD, and short equity indices.

Short-Term Strategies

Higher-frequency and short-term programs can include a myriad of strategies – including breakout, short-term trend/momentum, countertrend strategies – so there’s often very little commonality in source of P/L. Fixed Income and FX trading drove returns for most systematic short-term traders in April. Equities indices, on the other hand, were a small detractor as April was hard to navigate for many ST programs – particularly those with relatively longer holding periods -  given the erratic “roller-coaster” month in the equities markets.

Commodity Specialists

Industrial Commodities (energy and metals) managers were generally profitable in April, but it certainly was a mixed bag – depending on the sector the program focused on. The energy sector appeared to be the markets that bore the most fruit during the month.  Those traders that even a portion of the Heating Oil rally generally fared well. In contrast, metals trading was difficult. For metals specialists, the month began well, but then quickly confronted headwinds – largely due to the Chinese Covid-19 situation, talk of slowing economies and their impact on metals demand.

Kettera Strategies

NOTES:

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 Hedge Fund Intelligence Global Macro Index and Eurekahedge Macro Hedge Fund Index

The Hedge Fund Intelligence Global Macro Beta Index can be found at: https://data.hfm.global/funds4/public/indices/default.aspx

The Eurekahedge Macro Hedge Fund Index can be found at: https://www.eurekahedge.com/Indices/IndexView/Eurekahedge/481/Eurekahedge-Macro-Hedge-Fund-Index

2-                The Hedge Fund Intelligence Global Macro Beta Index: (same link as above)

3-                The Societe Generale Trend Index can be found at: https://cib.societegenerale.com/en/prime-services-indices/

4-                The Societe Generale Short-term Traders Index: (same link as above)

5-                The Eurekahedge AI Hedge Fund Index: https://www.eurekahedge.com/Indices/IndexView/Eurekahedge/683/Eurekahedge_AI_Hedge_fund_Index

6-                The Barclay Hedge Currency Traders Index can be found at: http://www.barclayhedge.com/

7-                Blend of Bridge Alternatives Community Hedge Fund Index and Barclay Discretionary Traders Index

The Bridge Alternatives Community Hedge Fund Index can be found at: http://www.bridgealternatives.com/commodity-hedge-fund-index

The Barclay Discretionary Traders Index and Agricultural Traders Index can be found at: http://www.barclayhedge.com/

8-                The Barclay Agricultural Traders Index: (same link as above)

9-                The Barclay Fixed Income Arbitrage Index: (same link as above)

10-              Blend of Eurekahedge Relative Value Volatility Hedge Fund Index and Eurekahedge Long Volatility Index:                    https://www.eurekahedge.com/Indices/

11-              Blend of Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index and Barclay Hedge Fund Multi Strategy Index

The Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index can be found at: (same link as above)

The Barclay Hedge Fund Multi Strategy Index can be found at: http://www.barclayhedge.com/

12-              Eurekahedge Event-Driven Hedge Fund Index: https://www.eurekahedge.com/Indices/

13-              The Barclay Hedge Crypto Traders Index can: http://www.barclayhedge.com/

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.

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