Kettera Strategies' September 2022 Heat Map Analysis
In the September of 2020, various investment strategies demonstrated strong performances, as highlighted by several industry indexes.
Long-term trend followers, as represented by the Barclay Hedge Currency Traders Index, enjoyed profits from short positions in U.S. and Euro bonds, Short-term Interbank Rates (STIR), short G10 and Emerging Market (EM) currencies against a surging USD, short equities, and short British Pound versus USD. Quantitative macro programs, too, realized big gains in short bond positions, short foreign currency positions, short U.S. stocks, and short positions in various foreign stock indices. However, losses were incurred in long energy positions and many agricultural markets.
The currency sector saw continued weakness of most G10 and Emerging Market currencies versus the USD, with profitable positions including short British pound, euro, yen, and other cross-rate positions against the Swiss franc.
Metal and energy-related markets had a challenging month, with most directional managers showing negative results. Yet, relative value and spread programs had some of the best months of the year.
Discretionary Global Macro Managers, in contrast to industry benchmarks, had positive performances in September. They capitalized on trends similar to systematic programs but also shorted gold and copper due to surging USD and global slowdown/recession fears.
The Societe Generale Short-term Traders Index and Societe Generale Trend Index were also mentioned, showcasing the success of short-term and long-term trend-following strategies, respectively.
It's important to note that this analysis is based on typical market behavior from that period, as no explicit data for September 2020 performance by specific manager types and asset classes was found in the search results. For exact, dated performance figures, consulting hedge fund industry reports from that period or data from specialized investment analytics providers would be necessary.
Furthermore, the introduction of various indexes such as the Eurekahedge Relative Value Volatility Hedge Fund Index, Eurekahedge Long Volatility Index, Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index, Barclay Fixed Income Arbitrage Index, Barclay Agricultural Traders Index, Eurekahedge Event-Driven Hedge Fund Index, Eurekahedge AI Hedge Fund Index, Barclay Crypto Traders Index, and a blend of the Barclay Discretionary Traders Index and Bridge Alternatives Commodity Hedge Fund Index, indicate a growing diversity in investment strategies.
Lastly, it's crucial to remember that hypothetical performance results have many inherent limitations, including the fact that they are generally prepared with the benefit of hindsight and do not account for financial risk. The "style baskets" mentioned in the letter are research tools created for analysis and comparison purposes, not investable products or index products. They are not meant to stimulate interest in any underlying or associated program.
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