Kettera Strategies Analysis Chart - August 2023
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In August 2020, commodities markets, particularly energies and agricultural sectors, demonstrated strong performance for trend systems, outperforming systematic spread and relative value programs. This trend was observed in a study by Kettera Strategies, a research organization that creates and classifies "style baskets" for analysis purposes.
The "style basket" for a class is constructed from the monthly returns (net of fees) of programs on or for the Hydra Platform, or under review with an expectation of being added to Hydra. The performance of a "style basket" is represented by arrows in the letter, indicating overall performance for the month.
However, the month was challenging for trend-based systems as several prevailing trends reversed. Short-term trading programs faced difficulties, especially in equities. On the other hand, medium-term trend programs outperformed longer-term trend strategies during this period.
In the realm of currencies, there was a significant divide in the performance of currency specialists. Longer-term systematic programs and discretionary-fundamental programs showed better results than short-term systematic programs.
Long and relative value volatility trading programs had a successful month, particularly during equity and bond market sell-offs. Industrial commodities programs were generally positive, with natural gas traders and carbon traders leading the way.
The benchmark sources used in the study include a blend of Eurekahedge Macro Hedge Fund Index and BarclayHedge Global Macro Index, among others. It's important to note that style baskets are not investible products or index products being offered to investors.
On August 18, yields began to move lower, and equities rallied on the hopes that the Federal Reserve would halt rate hikes. Conversely, after Fitch downgraded the US sovereign credit rating on July 31, equities moved lower while fixed income yields rose.
The article is a guest article on Hedge Funds and Managed Futures, published by AlphaWeek. The copyright for the publication belongs to The Sortino Group Ltd. No part of the publication may be reproduced without the written permission of 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 accurate performance trends, it is recommended to check official reports or performance summaries released by Kettera Strategies from that period, industry databases or platforms that track hedge fund and trading strategy performances, financial news archives that may have covered Kettera Strategies’ performance in August 2020, or to directly contact Kettera Strategies or their investor relations team if you are an investor or authorized party.
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