September 2020 Kettera Strategies Analysis
In the turbulent month of September 2021, various asset classes experienced numerous short-term reversals. Despite the general market volatility, some program types managed to thrive. This article offers an overview of the performance of quant macro programs, systematic trend programs, short-term programs, and agricultural commodities specialists during that period.
Quant Macro Programs, which trade a broad range of asset classes including currencies, bonds, equities, and commodities, typically benefited from the strong performances of commodities and equities throughout 2021. Energy and base metals often led commodity returns before some pullback late in the year.
Systematic Trend Programs (Trend-following CTAs) capitalised on the strong directional trends in commodities (especially energy and agriculture) and equity markets in 2021. These programs often performed well on commodity futures like oil, natural gas, and agricultural products. However, in September, they ended up in moderate negative territory, primarily due to positioning in foreign exchange (mostly long European currencies) and industrial commodities (mostly long metals positions).
Short-term Programs, which rely less on directional market moves and more on volatility and short-term price patterns, had varying returns in September. Their performance heavily depends on market volatility and liquidity.
Agricultural Commodities Specialists excelled in September, with a significant rally in agricultural futures. Corn, soybeans, and wheat all saw strong upward trends, driven by supply chain disruptions and weather-related factors. As a result, these specialists were the outperformers of the month.
The BarclayHedge Currency Traders Index and BTOP FX Traders Index, along with the Eurekahedge-Mizuho Multi-Strategy Index, were mentioned in relation to their performance during this period. The Eurekahedge Long Short Equities Hedge Fund Index was also discussed, as it was previously mentioned.
A blend of the BarclayHedge Equity Market Neutral Index with the Eurekahedge Equity Mkt Neutral Index was introduced, with programs focusing on currencies, metals, and energies reaping the most return. The CBOE Eurekahedge Relative Value Volatility Hedge Fund Index was also introduced.
It's important to note that the exact performance rankings by program type in September 2021 are not available in the provided results. For precise figures, one would typically need access to specific hedge fund or CTA monthly performance reports from that period or proprietary databases.
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[1] It's worth mentioning that the S&P GSCI Metals & Energy Index and S&P GSCI Ag Commodities Index were highlighted as strong performers during this period. Additionally, the Barclay Crypto Traders Index was mentioned, although its performance in September 2021 was not specifically discussed in the provided results.
Investing in technology could provide insights on analyzing the strong performances of commodities and equities, as these asset classes were key for Quant Macro Programs in 2021. Particularly, Systematic Trend Programs capitalized on technology to identify directional trends in commodities and equity markets.
In September, short-term Programs' returns varied due to their reliance on market volatility and liquidity, while Agricultural Commodities Specialists, backed by technology tools, excelled with a significant rally in agricultural futures.
