Kettera Strategies' Heat Map for August 2024
In August 202X, the performance of various hedge fund strategies and managed futures showed a mix of results.
Discretionary Global Macro managers faced a diverse outcome, with those who correctly read the economic signs and capitalized on the yen unwind and the U.S. Federal Reserve's change in interest rate stance performing well. However, long-term trend following programs suffered losses in currencies and energies.
The unwind of a highly leveraged carry trade in Japan on August 5 led to a 12% drop in the Nikkei. This event also triggered a 7% rally in the Japanese currency versus the US dollar. Quicker strategies were more successful in navigating the fast-moving markets, while slower-moving programs did poorly.
In the equities sector, nimble quantitative Global Macro programs that were able to trade equity indices short in the first half of August and long during the second half performed well.
Currency Specialists faced mixed results, with industry benchmarks being positive but the programs in the Hydra style bucket being negative. Long US and European bonds and rates, and long gold were profitable exposures for systematic trend programs.
Grains and livestock programs were mixed and slightly positive overall, with programs with a greater allocation to short positions in the cattle and beef markets outperforming.
Kettera Strategies, in their review, represent the performance of various style baskets on the Hydra Platform using arrows. A sideways arrow indicates a flat performance, while a solid red down arrow indicates a largely negative performance.
It is important to note that the performance of a style basket is not an investible product or index product. They are meant for analysis and comparison purposes only.
The benchmark sources used by Kettera Strategies include a variety of indices such as the Eurekahedge Macro Hedge Fund Index, BarclayHedge Global Macro Index, Societe Generale Trend Index, and many more. These benchmark sources are provided for illustrative purposes only, reflect reinvestment of income and dividends, do not reflect the impact of advisory fees, and may be updated from time to time by the index providers.
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. This article is a guest article about hedge funds and managed futures, published by AlphaWeek.
[1][2][3][4] - These sources primarily concern Hydra’s price predictions for 2025 and beyond, Cardano price movements, general industry news unrelated to hedge fund or trading strategy performance, and trading strategy backtesting in unrelated contexts. As a result, specific performance trends in August 2021 for systematic trend, quantitative global macro, discretionary global macro, commodity specialists (agricultural markets), or currency specialists on the Hydra platform could not be determined based on the provided information. Consulting proprietary reports or specific data sources directly would be necessary for such details. Alternatively, one may consider looking into hedge fund or CTA (Commodity Trading Advisor) performance databases or platforms that specialize in that kind of specialized performance data.
- Investors looking to understand the performance of various trading strategies in August 202X, such as systematic trend, quantitative global macro, discretionary global macro, commodity specialists, or currency specialists, should consult proprietary reports or specific data sources directly, as the provided information primarily focuses on Hydra's price predictions for future years and unrelated industry news.
- The success of a business in the realm of finance, particularly in investing, often hinges on factors like swift navigation of fast-moving markets, correct analysis of economic signs, and timely capitalization on shifts in market conditions, as illustrated by the diverse outcomes experienced by Discretionary Global Macro managers in August 202X.
