January 2022 Kettera Strategies Tactical Analysis Report
In the fast-paced world of managed futures, January 2022 presented a diverse landscape for various strategies, as reported by Kettera Strategies. This article, a guest piece under Hedge Funds - Managed Futures, published by The Sortino Group, offers an insightful analysis of the month's performance trends.
The performance of style baskets, research tools created by Kettera for analysis and comparison purposes, revealed a mixed picture. While equities indices whipsawed across days and intraday, ST systematic programs focused on equities managed to capitalize on the short side of the market. Conversely, fixed income and equities indices were mixed depending on the program, with commodities generally bringing net positive returns.
In the global macro sector, January was a strong month for managers in the Hydra style bucket. On the other hand, managers specializing in spread and relative value trading struggled, particularly in the energy markets. The FX sector, however, proved to be the area of more fertile returns compared to the commodities sector.
Short-term and higher-frequency strategies were a mixed bag, with the fixed income markets providing the best opportunities. For the Systematic Trend sector, most winning positions were long crude oil, long agricultural markets, and short positions in fixed income and interest rates.
It's worth noting that the benchmark sources for this article include various indices such as the Eurekahedge Macro Hedge Fund Index, BarclayHedge Global Macro Index, Société Générale Trend CTA Index, and others.
However, it's important to highlight that the indices and financial benchmarks shown in the article are for illustrative purposes only and do not reflect the impact of advisory fees. They may not be updated or revised by Kettera. Reproduction, storage, or transmission of any part of this publication is not allowed without written permission from the publisher.
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. For detailed and current performance data for these strategy types from Kettera Strategies, it's recommended to check their official publications, reports, or website directly, or specialized financial data platforms.
Lastly, it's essential to remember that the weighting of a program in a basket depends upon which of the three groups the program falls into. In FX, the major currencies generated most of the profits, with PPP, yield curve shifts, and other long-term "value" oriented metrics being significant factors.
In conclusion, January 2022 presented a complex picture for managed futures strategies, underscoring the importance of thorough analysis and strategic decision-making in this dynamic field.
Technology played a pivotal role in managing and analyzing the performance of various managed futures strategies, as Kettera Strategies utilized research tools built upon advanced technology for their style baskets. Furthermore, investing in the Systematic Trend sector required an understanding of the intricate relationships between assets such as crude oil, agricultural markets, fixed income, and interest rates, which could be facilitated through the use of technology for data analysis and decision-making.
