Political Landscape Analysis: Kettera Strategies Report - May 2024
In a guest article published by AlphaWeek, specifically for Managed Futures, the performance of various investment strategies on the Hydra platform was evaluated. The author of the article, however, remains unidentified in the available search results. The Basistreff AG Company, based in Dublin, Ireland, is linked to related content, but no specific author is identified for that article.
The article discusses the use of "style baskets," research tools created by Kettera Strategies for analysis and comparison purposes. These baskets are not investible products or index products, but rather serve as a means to analyse and compare the performance of different programs. Each style basket is created from monthly returns (net of fees) of programs that are either currently or formerly on Hydra, or under review with an expectation of being added to Hydra.
The findings of the article suggest that May was a challenging month for most investment strategies. Systematic trend programs, in particular, experienced significant losses, particularly in Foreign Exchange (FX) markets. Long positions in the US Dollar versus G10 currencies (Aussie, CAD, NZD, GBP, EUR), and emerging markets (MXN), generated losses. Similarly, long positions in FX rates, particularly US Dollar vs. "commodity currencies" (MXN, Aussie, NZL, CAD) and G5 units (British Pound, Euro), and long positions in crude oil and derivative products also resulted in losses.
On the other hand, long positions in equities (US, Europe, Asia) and long precious metals (silver, gold) were among the few winning exposures in systematic trend programs. However, even these strategies were not immune to difficulties, as choppy price action in fixed Income markets resulted in setbacks.
The performance of fundamental econometric data-reliant managers was also found to be weaker than price-based model managers during May. This trend was particularly evident in the Agricultural sector, where most discretionary fundamental Agricultural programs struggled, particularly those with a bearish stance in the soybean complex, wheat, and live cattle markets.
The views expressed in the article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group. It is important to note that the indices and financial benchmarks shown in the letter are provided for illustrative purposes only, and do not reflect the impact of advisory fees.
The article concludes by stating that most quantitative global macro programs experienced difficulties in May, with most macro managers' performance in fixed income being choppy and generally difficult throughout the month. The weighting of a program in a basket depends upon into which of these three groups the program falls.
The benchmark sources used in the letter include a blend of Eurekahedge Macro Hedge Fund Index and BarclayHedge Global Macro Index, Societe Generale Trend Index, BarclayHedge Currency Traders Index, Bridge Alternatives Commodity Hedge Fund Index, BarclayHedge Discretionary Traders Index, BarclayHedge Agricultural Traders Index, Eurekahedge Commodity Hedge Fund Index, a blend of CBOE Eurekahedge Relative Value Volatility Hedge Fund Index and CBOE Eurekahedge Long Volatility Index, and a blend of Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index and BarclayHedge Multi Strategy Index.
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