Strategic Analysis Chart - January 2022 by Kettera
In the world of managed futures, the performance of various strategies can greatly vary, as reported by Kettera Strategies in their monthly analysis. However, a search for specific performance highlights for January did not yield direct data or summaries for quantitative macro programs, systematic trend programs, industrial commodities specialists, shorter-term strategies, or other managed futures strategies.
Nonetheless, it is worth noting that Kettera Strategies is known for its managed futures indices and typically reports on the performance across various managed futures strategy categories. These reports usually cover performance metrics such as monthly returns, volatility, and trends for the reported period.
The "style baskets" used by Kettera Strategies are research tools created for tracking categories and are classifications drawn by the firm. These baskets are not investible products or index products, but are meant purely for analysis and comparison purposes. The weighting of a program in a basket depends upon which of the three groups the program falls into.
In January, the FX sector proved to be more fruitful for returns compared to the commodities sector for managers in the Hydra style bucket. Fixed income and equities indices were mixed for Quantitative Macro Programs, while commodities generally brought net positive returns.
Short-term and higher-frequency strategies had mixed results, with fixed income markets providing the best opportunities. Managers specializing in spread and relative value trading underperformed, particularly in the energy markets.
In Systematic Trend, long equity index positions and long fixed income positioning were challenging, while long precious metals positions also faced difficulties. However, equities indices whipsawed across days and intraday, and ST systematic programs focused on equities managed to capitalize on the short side of the market.
The style basket for a class is created from monthly returns of programs on or for the Hydra Platform, or under review with an expectation of being added to Hydra. The arrows in the style baskets represent their overall performance for the month, with a solid red down arrow indicating the basket was largely negative compared to most months.
For instance, the Hydra platform's lead metals specialist generated returns on its spread/RV positions. January was referred to as the "inflation-fueled" month for systematic managed futures strategies. In the FX sector, major currencies generated most of the profits, with PPP, yield curve shifts, and other long-term "value" oriented metrics dominating.
For the Systematic Trend sector, most winning positions were long crude oil, long agricultural markets, and short positions in fixed income and interest rates. FX was less than kind to most short-term systems in January, largely due to mid-month bullish reversal and an end-of-month bearish reversal in the USD.
It is essential to note that benchmark sources such as the Eurekahedge Macro Hedge Fund Index, BarclayHedge Global Macro Index, Société Générale Trend CTA Index, and others are used for illustrative purposes only, do not reflect the impact of advisory fees, and may be updated from time to time.
For detailed performance highlights for January, it is recommended to check directly Kettera Strategies’ official website or their latest publications, as these would provide the precise monthly performance breakdowns for these strategies.
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.
- Kettera Strategies, known for their managed futures indices and performance reporting across various strategy categories, failed to provide specific January performance highlights for quantitative macro programs, systematic trend programs, industrial commodities specialists, shorter-term strategies, or other managed futures strategies in their monthly analysis.
- Despite the lack of direct data on the performance of specific strategies in January, it is worth noting that for the Systematic Trend sector, most winning positions were long crude oil, long agricultural markets, and short positions in fixed income and interest rates, as reported by Kettera Strategies.
