Tactical Analysis Chart of Kettera Strategies - January 2021
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In the world of hedge funds, January saw a mix of successes and challenges across various strategy classes. This review focuses on key developments in the Managed Futures sector.
Equity Market Neutral Strategies
A blend of the BarclayHedge Equity Market Neutral Index and Eurekahedge Equity Market Neutral Index was a point of interest, as the model-driven global macro camp faced some hurdles. Commodities, rather than providing returns, offered frustration instead.
Relative Value Strategies
The CBOE Eurekahedge Relative Value Volatility Hedge Fund Index was another area of focus. Some of the best performance in Kettera Strategies' spread/relative value programs came from KC vs Chicago wheat spreads and reverse cattle crush spreads.
Systematic Trend Programs
Systematic Trend Programs that had the best luck in January maintained long positions in commodities, were short North American fixed income, and kept G10 currency exposure to a minimum.
Currency Traders
The BarclayHedge Currency Traders Index and BTOP FX Traders Index were also mentioned, but specific performance details were not available.
Commodities
The S&P GSCI Metals & Energy Index and S&P GSCI Ag Commodities Index were tracked. Those quant managers that ended January profitably seemed to have fixed income positions that caught weakening prices. Interestingly, the relationship between Bitcoin and Ethereum in January yielded some intriguing opportunities, with Ethereum rising while Bitcoin corrected. Cryptocurrency traders experienced their best month ever in January, with Bitcoin surpassing $40,000 for the first time.
Cryptocurrency
The Barclay Crypto Traders Index was also mentioned, but performance details were not provided. Kettera Strategies reported strong returns in their directional strategies for corn and soybeans in January.
Equities Long/Short Programs
The performance of Equities Long/Short programs in January was influenced by the chaotic markets caused by Reddit-inspired retail investors. Most programs in the Equities Long/Short sector were net positive in January, but there was a significant dispersion of returns.
AI Hedge Funds
The Eurekahedge AI Hedge Fund Index was another index of interest, but specific performance details were not available.
Disclaimer
It is important to note that the views expressed in this article are those of the author and not necessarily those of AlphaWeek or its publisher, The Sortino Group.
This review offers a snapshot of the Managed Futures sector's January performance. For a more comprehensive analysis, including insights from the Kettera Strategies report and data on the top performing strategy classes in commodities, fixed income, equities, cryptocurrency, and volatility/options trading for January, additional resources may be required.
Finance and technology were integral to the success and challenges faced by various strategy classes within the Managed Futures sector in January. Some Managed Futures funds utilized model-driven global macro strategies that made use of technology for predictions and decisions. Additionally, systematic trend programs, which had a profitable January, employed technology to maintain and adjust their positions in commodities, fixed income, and currencies. Furthermore, AI Hedge Funds, as indicated by the Eurekahedge AI Hedge Fund Index, also represent an intersection of finance and technology.
