Kettera Strategies' October 2022 Heat Map Analysis
In October 2021, various financial benchmarks and strategies demonstrated significant performance trends across different sectors. Here's a summary of the key developments:
The Barclay Hedge Crypto Traders Index, Barclay Discretionary Traders Index, and Bridge Alternatives Commodity Hedge Fund Index were blended to form a new index, reflecting the growing interest in cryptocurrencies and commodities.
Commodities markets emerged as the most fertile ground for many quant macro programs, with energy being the best performing sector. Long positions in commodities, particularly in the corn and soybean complex, were profitable for diversified commodities programs. Conversely, short positions in precious and base metals also yielded profits.
Grains trading was positive for most diversified commodities programs, primarily from long corn and soybean complex positions. The Barclay Agricultural Traders Index, a financial benchmark, likely saw gains in this context.
Cash cattle prices surged higher in October, making long positioning profitable for ag specialists.
In the currency sector, short JPY (against nearly all other currencies) was a winning stance for most systematic trend programs.
Equity index markets, however, presented challenges for systematic trend programs, with many experiencing setbacks due to short positions carried over from late September.
The Societe Generale Short-term Traders Index and the Societe Generale Trend Index, both financial benchmarks, would have seen mixed results, given the moderate volatility and shifting correlations in October.
The Eurekahedge Relative Value Volatility Hedge Fund Index, Eurekahedge Long Volatility Index, Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index, and Barclay Hedge Fund Multi Strategy Index were blended to form a new index, reflecting the increasing popularity of multi-strategy approaches.
The Eurekahedge Event-Driven Hedge Fund Index and the Eurekahedge AI Hedge Fund Index, as financial benchmarks, would have provided insights into event-driven and AI-driven strategies' performance.
For exact and detailed monthly performance data for specific funds or programs, it is recommended to consult their official performance reports or disclosures.
Overall, October 2021 presented a mixed bag of opportunities and challenges across various financial benchmarks and strategies, with commodities markets and trend-following systems being particularly noteworthy.
- The increasing interest in cryptocurrencies and commodities has led to the creation of a new index, blending the Barclay Hedge Crypto Traders Index, Barclay Discretionary Traders Index, and Bridge Alternatives Commodity Hedge Fund Index.
- The commodities markets, especially the energy sector, proved to be fertile ground for many quant macro programs, with profitable returns from long positions in commodities like corn and soybean complex, as well as short positions in precious and base metals.
