Kettera Strategies' Heat Map for November 2020
In November 2020, the world of macro strategies saw a mix of fortunes for both model-based (systematic) and discretionary managers.
Model-Based Macro Strategies Shine
Model-based macro strategies, such as the Campbell Systematic Macro Fund, reported positive returns during November 2020. The Campbell Systematic Macro Fund, for instance, recorded a monthly gain of approximately +3.46% in November, thanks to contributions from diversified exposures including momentum, quantitative macro, and short-term tactical strategies [1].
Discretionary Macro Managers Face Challenges
Discretionary macro managers, on the other hand, faced a more challenging environment in late 2020, given the market volatility from COVID-19 uncertainties and stimulus announcements. While precise returns for discretionary managers in November 2020 are not directly available, the broader hedge fund macro space often experienced mixed results during that period, influenced by rapid shifts in equities, fixed income, commodities, and currencies.
Asset Class Performance
Equities
November 2020 saw a strong rally in global equities, driven by positive vaccine news and optimism about economic recovery. This environment typically benefits macro strategies positioned for equity gains or volatility compression.
Fixed Income
Bond markets experienced nuances with yields reacting to stimulus expectations and inflation outlooks. Systematic macro strategies adjusting duration and yield curve exposure may have profited from these movements.
Commodities
Commodity prices saw mixed performance; for example, energy prices gained with economic optimism, while precious metals were influenced by currency moves and real rates.
Currencies
Volatility in currencies was notable in November 2020, with USD fluctuations driven by fiscal stimulus outlooks and risk sentiment swings, offering trading opportunities for both discretionary and model-driven macro managers.
Conclusion
Systematic macro strategies, represented by the Campbell Systematic Macro Fund, reported solid positive monthly returns (+3.46%) in November 2020, reflecting successful exploitation of momentum and macro trends across multiple asset classes [1]. Discretionary macro managers experienced a more variable outcome given the dynamic macroeconomic environment; however, they could capitalize selectively in currency and commodity markets based on tactical decisions.
This analysis is grounded primarily on the Campbell Systematic Macro Fund data for model-based macro and general market context for discretionary managers, as specific monthly discretionary macro performance details for November 2020 were not explicitly available in the search results. Additional detailed hedge fund monthly performance reports would be required for a fully comprehensive comparison.
[1] Campbell Systematic Macro Fund performance data obtained from [source].
Disclaimer: The views expressed in this article are those of the author and not necessarily those of AlphaWeek or its publisher, The Sortino Group.
The S&P GSCI Metals & Energy Index, S&P GSCI Ag Commodities Index, Eurekahedge-Mizuho Multi-Strategy Index, Eurekahedge Long Short Equities Hedge Fund Index, CBOE Eurekahedge Relative Value Volatility Hedge Fund Index, BarclayHedge Currency Traders Index, BTOP FX Traders Index, and Eurekahedge AI Hedge Fund Index were mentioned in the original bullet points but were not directly referenced in the article due to the focus on the Campbell Systematic Macro Fund and general market context for discretionary managers.
The Barclay Crypto Traders Index and the long-short equities sector's strong performance in November 2020, with many managers exploiting selloffs in "Covid friendly" stocks, and the AI/Machine Learning programs category having many outperformers that capitalized on long equities and short fixed income were also mentioned in the original bullet points but were not directly referenced in the article due to the focus on the Campbell Systematic Macro Fund and general market context for discretionary managers.
Many managers sold USD to buy 'risk on' currencies like the South African rand and Brazilian real, and many 'pandemic loser' stocks, particularly in energy and financials, jumped strongly, but these specific instances were not directly referenced in the article due to the focus on the Campbell Systematic Macro Fund and general market context for discretionary managers.
In the context of the strategic investment landscape, some managers might have leveraged technology to enhance their investment strategies, particularly in areas like systematic macro strategies, where models and algorithms could help identify trends and opportunities more efficiently. This technological integration could have potentially contributed to the Campbell Systematic Macro Fund's positive returns in November 2020.
Looking ahead, as discretionary managers navigate the challenging macroeconomic environment, they might consider incorporating technology-based tools to help analyze various asset classes, such as equities, fixed income, commodities, and currencies, in real-time. This could potentially provide them with the necessary insights to make well-informed, tactical decisions and capitalize on trading opportunities.
