Kettera Strategies' July 2021 Heat Map Analysis
In a recent report by Kettera Strategies, it was revealed that July 20XX was generally a positive month for systematic trend programs and discretionary global macro programs. However, specific details about the top performing markets for each program type in July were not explicitly provided in the report.
The analysis in the report used several benchmark sources, including the IndexIQ Hedge Global Macro Beta Index, Societe Generale Trend Index and SG CTA Index, Societe Generale Short-term Traders Index, Eurekahedge AI Hedge Fund Index, Barclay Crypto Traders Index, BarclayHedge Discretionary Traders Index, Barclay Ag Traders Index, NilssonHedge Commodities CTA Index, Eurekahedge-Mizuho Multi-Strategy Index, CBOE Eurekahedge Relative Value Volatility Hedge Fund Index, Eurekahedge Long Short Equities Hedge Fund Index, BarclayHedge Currency Traders Index, BTOP FX Traders Index, and Eurekahedge-Mizuho Multi-Strategy Index.
Short-term systems appeared to benefit most from fixed income markets, while directional traders found solace in the rallying wheat markets. For mainstream systematic managers, the most common profitable trade was long global fixed income markets, particularly Eurozone interest rate markets. Relative value programs from agricultural commodities specialists capitalized on consolidation in some markets, including range-bound trading in corn and soybeans.
For more diversified programs, the upside came from commodities, primarily long positions in energy markets and coffee. Coffee was likely the star performer for managers that include softs in their repertoire, due to the effect of drought conditions and back-to-back frosts earlier in the year.
Equity indices were either slightly profitable or a mixed bag, and currencies were challenging for most models. The sudden reversals and counter-reversals in equities made stock indices much more difficult. The "style baskets" referred to in the report are research tools created by Kettera for tracking categories and are classifications drawn by Kettera Strategies in their review of programs on the Hydra Platform.
It's important to note that the indices and financial benchmarks mentioned in the report are for illustrative purposes only and do not reflect the impact of advisory fees. Kettera disclaims any obligation to verify these numbers or to update or revise the performance numbers.
The report also mentioned the BarclayHedge Equity Market Neutral Index and a blend of BarclayHedge Equity Market Neutral Index and Eurekahedge Equity Mkt Neutral Index. The list of profitable markets for discretionary global macro programs was similar to that for systematic managers, with the key being getting the "risk on vs risk off" equation right.
In conclusion, while specific details about the top performing markets for systematic trend and discretionary global macro programs in July 20XX were not provided in the Kettera Strategies report, the report does indicate that July was generally a positive month for these programs, with varying returns based on market sectors traded.
- The report indicates that investing in energy markets, particularly coffee, could have been profitable for commodities programs in July 20XX, given the drought conditions and back-to-back frosts earlier in the year.
- For discretionary global macro programs, the key to success in July 20XX was getting the "risk on vs risk off" equation right, as the list of profitable markets was similar to that for systematic managers.
