Kettera Strategies Heat Map - July 2019
In July, trend following strategies continued their strong performance. The Soc Gen Trend Index has reached the 15% YTD level, with some managers we follow exceeding 20%+ YTD. This is the strongest 7-month gain for the style class since 2008. Currency and long fixed income trades drove the bulk of the performance in July.
Short-term and higher-frequency programs fared well. Profits were not as “across the board” as June, but most programs were still positive. One of Hydra’s long-standing short-term systematic programs posted its best month in years – thanks to capturing short-term moves in equities and bonds, on both sides of the market.
Global macro programs varied by style (model-driven vs discretionary) and sector focus. On the whole, discretionary programs appeared to faced more challenges in July. Many that we follow sustained setbacks in non-US equities and currencies. Quant and model-driven strategies, on the other hand, seemed to capitalize on fixed income moves.
Currency specialists staged a comeback. This category was plagued for years with low volatility and choppy, sideways markets that belied both fundamentals and technicals. However, in 2019 many FX players are springing back to life – with July being a banner month. Those trading economic fundamentals seemed to fare especially well.
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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-The Hedge Fund Intelligence Global Macro Index and HFI Currency Index
2-The Societe Generale Trend Index and SG CTA Index
3-The Societe General Short-term Traders Index: (same link as above)
4-The EurekaHedge AI Hedge Fund Index
5-The BarclayHedge Currency Traders Index and BTOP FX Traders Index
6- S&P GSCI Metals & Energy Index and S&P GSCI Ag Commodities Index
7-The CBOE Eurekahedge Relative Value Volatility Hedge Fund Index
8-The Eurekahedge-Mizuho Multi-Strategy Index: (See above)
9-The Eurekahedge Long Short Equities Hedge Fund Index: (See above)
10-BarclayHedge Equity Market Neutral 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.
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