Kettera Strategies Heat Map - February 2025
For the month of February, the following summaries highlight five of the ten style categories that we track.
Systematic Trend Programs
February proved a very challenging month for many systematic trend-following CTAs amid several trend reversals across multiple asset classes, frequent and opposing tariff announcements, inflation fears, and high stakes geopolitical stress. Shorter-term trend programs fared poorly in commodities, especially those affected by tariffs such as base metals and agricultural grains, and currency trading that was very choppy and headline driven. Medium-term and longer-term programs also suffered, some quite badly, among the big trend reversals in ags and softs (corn, cocoa) and US bonds and rates reversals in which yields that had been rising since December dropped into month end. Equities trading was mixed as those programs overweight long exposures to European indices did well, while those overweight long US equity indices did poorly.
Discretionary Global Macro Managers
Discretionary global macro funds delivered mixed to positive results in February despite shifting monetary policies, conflicting tariff threats, inflation fears, and geopolitical tensions that kept markets on short-term edge. Managers that correctly anticipated falling US yields in a “risk-off” rotation trade did well in fixed income. Several managers also called the German Bunds (yields rising) correctly, going short in advance of Chancellor Merz’s announcement to increase defense spending and a massive infrastructure bill that’ll lead to bigger debts. Many programs also correctly went short US dollar, notably vs. the Japanese Yen and British Pound, as the differential between US yields and other developed markets bond yields narrowed. Although the exposures were relatively smaller, a few programs were also positioned for US economic weakness by shorting US equities – catching the sell-off late in the month.
FX Programs
Currency trading programs saw mixed performance, shaped by geopolitical events, central bank policies, and market volatility. Many funds benefited from increased FX trading volumes and volatility tied to Trump’s tariff policies, but not all capitalized effectively. Policy divergence, particularly between Japan and other central banks, made the yen a key driver of returns. There was a clear split between funds that dynamically adjusted positions and those caught in market noise. One well-known macro fund specializing in FX had its best month in over two years, profiting from U.S. interest rate reversals and movements in the dollar and pound. Short-term currency programs performed well overall, though returns varied widely – where breakout and intraday trend strategies struggled, while some AI-driven models navigated rapid shifts. Most managers benefited from yen volatility due to speculation around BOJ tightening. Gold was favorable for breakout strategies early in the month, but gains eroded as it entered choppy territory. In summary, February was a test of adaptability. Success depended on anticipating and reacting to geopolitical shifts, central bank moves, and market sentiment.
Commodities Managers – Agricultural Specialists
In February the returns of the grain and livestock programs we track were also mixed although, on average, generally positive. Trading was marked by conflicting tariff headlines, multiple weather considerations in North and South America, data releases on expected crop planting acreage, and a significant hedge fund unwind out of long grains positioning. Programs that were able to somewhat ignore the tariff talk and political obstacles and focus more on the longer-term fundamentals did well to close out corn and soybean longs before the sharp sell-offs. Livestock traders were cautiously short cattle markets as prices backed off from historic highs. It seems most ags traders are focused on the weather and upcoming acreage reports, holding bullish corn positions (spreads and outright) and bearish soybean positions (spreads and outright).
Kettera Strategies Heat Map - February 2025
Past performance is not necessarily indicative of future results. See notes at end of this document for details on the construction of the hydra "baskets" and the benchmark used for each style class. Also note that some baskets may contain managers that have not yet reported by this date. *=less than 75% reported. **=less than 75% reported and absence of a core manager's return
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Footnotes
The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Kettera Strategies. The information set forth herein has been obtained or derived from sources believed by the author to be reliable. However, neither Kettera nor the author make any representation or warranty, express or implied, as to the information's accuracy or completeness, nor do Kettera or the author recommend that the attached information serve as the basis of any investment decision. This is provided to you solely for informational purposes only and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such.
Kettera Strategies LLC is a Member of the National Futures Association and registered as a Commodity Pool Operator and only provides services to Accredited Investors who are Qualified Eligible Persons as defined in section 4.7 of the Commodity Exchange Act. This document, any attached document and cover email are being furnished to you on a confidential basis and may not, without prior written consent of Kettera Strategies LLC be (i) copied, photocopied or duplicated in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director, or authorized agent of the intended recipient of this email. This document, and any related documents or emails, are neither offers to sell any securities, nor solicitations of an offer to invest in any fund or product.
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.
Further notes on Hydra Emerging Manager Basket: Weightings among managers were rebalanced every year, with exceptions for extraordinary events (e.g. the Covid market collapse). Weightings are not discretionary. Manager weightings were not increased over time except for going from a “pending” to a fully “approved” program; weighting reductions only occurred if the manager was de-listed or shut its doors – otherwise the managers stayed as is regardless of performance. Weightings are equal for any approval category: e.g. all fully approved managers may get a X% weighting, regardless of volatility/exposure levels or correlation with other strategies.
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- With Intelligence Systematic Macro Hedge Fund Index
2- With Intelligence Macro Hedge Fund Index
3- The Societe Generale Trend CTA Index
4- The Societe Generale Short-term Traders Index
5- The Barclay Currency Traders Index
6- Blend of Bridge Alternatives Commodity Hedge Fund Index and BarclayHedge Discretionary Traders Index
7- The Barclay Agricultural Traders Index
8- The Nilsson CTA Commodities Index
9- Blend of With Intelligence Volatility Arbitrage Index and With Intelligence Long Volatility Hedge Fund Index
10- Blend of With Intelligence Institutional Equity Hedge Multi Strategy Index and BarclayHedge Multi Strategy 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.
Past performance is not necessarily indicative of future returns.
Copyright © 2025 Kettera Strategies, all rights reserved.
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