October 2024 Kettera Strategies Heat Map: Insights and Predictions
In October 2020, the financial landscape presented a complex tapestry of gains and losses for various hedge fund strategies. However, due to the limitations of accessible data sources, specific performance figures for several strategies, including systematic trend, global macro (discretionary and quantitative), FX specialists, commodity specialists (agricultural markets), and equity specialists, remain unavailable.
Most longer-term systems, which had held long USD positions since mid-summer, started performing in October. This was a stark contrast to the short- and medium-term programs that suffered setbacks, particularly those that went short the dollar in September. The strengthening US dollar was obviously the big story in October, appreciating versus most G10 and emerging market currencies.
The ag sector was mostly negative as programs had come into the month long soybeans, soymeal, and corn, which all declined. In stark contrast, grain specialists performed well, with commodities being mixed overall. Precious metals, being positive as many systems were long gold and silver, were a common winner.
The energy sector results were mixed due to the oil market spiking sharply then quickly selling off. For softs specialists, outsized gains in September got chewed up in October as markets retreated and stops were hit.
Currencies were a mixed bag, with a very strong US dollar strengthening vs. most G10 and emerging market currencies. Those programs that were long fixed income also tended to be short the US dollar (which became less attractive as yields fell) and were punished as the USD strengthened in October.
Model-driven programs based on econometric and fundamental inputs seemed to outperform price-based (technical) programs. The turnaround in the U.S. and European bond markets during October inflicted losses to most trend programs.
In the realm of equities, they did not appear to impact the macro managers' performance much. For the former, the setbacks suffered toward the end of September (due to overreaction to misleading headlines concerning Europe and China) appeared to be reversed as longer-term bearish fundamentals kicked in.
Long precious metals, primarily gold, was a popular holding for the macro crowd and a positive performer. Short natural gas was another common winner. The "style baskets" performance is based on the net returns (fees included) of programs either on Hydra, under review for Hydra, or formerly on Hydra.
It is essential to note that hypothetical performance results have limitations, including hindsight bias and the inability to account for financial risk in actual trading. 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. For reliable and specific October 2020 performance data for these strategies, direct access to hedge fund databases or specialized market research reports from that period would be required. The index providers may update their reported performance from time to time, and Kettera disclaims any obligation to verify these numbers or to update or revise the performance numbers.
[1] Aurum’s Hedge Fund Data Engine reports current and recent hedge fund performance by strategy but does not provide historical data for October 2020 in the accessible content. [2] Other sources such as Patton Fund Management and Opalesque discuss aspects of hedge fund and macro strategies but similarly do not contain the requested historical performance breakdowns for those strategies in October 2020.
With the rise of the US dollar in October, technology-focused investment strategies that were long on USD might have seen positive returns, given the strength of the USD against most G10 and emerging market currencies. Moreover, model-driven programs that use econometric and fundamental inputs, which outperformed price-based (technical) programs in October, could potentially have benefited from investing in technology sectors that showed strong performance during the same period.
