August 2024 Strategic Analysis by Kettera: Heat Map Insights
In August 202x, the global financial markets witnessed a mix of performances across various hedge fund strategies. Here's a breakdown of some key trends observed during the month.
Systematic trend programs, which focused on long positions in US and European bonds and rates, as well as long gold, recorded profits as yields dropped throughout the month. However, specific performance data for these programs is not readily available for August 2021.
Kettera Strategies, using the Hydra Platform, reviewed and classified various systematic trend programs. The performance of a style basket, representing a group of such programs, is illustrated in their reports. In the case of August 202x, the style basket showed a sideways arrow, indicating a flat overall performance.
Quantitative Global Macro programs also showed a mixed performance. Successful programs had more fundamental inputs and those with long positions in Fixed Income in Europe and the US performed better.
In the equities sector, quantitative programs that were nimble enough to trade equity indices short in the first half of the month, and long during the second half, fared well.
Grains and livestock programs were slightly positive overall, with positive performers outweighing negative ones. The specific performance of these programs for August 2021 is not widely available.
Currency specialists faced a complex environment, with industry benchmarks being positive but the programs in the Hydra style bucket being negative. The yen rallied 7% vs. USD in the first three trading days of the month due to an unexpected rate hike by the Bank of Japan, which triggered a sell-off in the Nikkei.
Programs with more exposure to commodities, especially those long in softs (coffee, cocoa), and shorts in energies (crude, heating oil, gas), appeared to outperform.
It's important to note that the performance of a style basket is for illustrative purposes only and does not reflect the impact of advisory fees. Hypothetical performance results of style baskets have inherent limitations, and there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
For more specific performance data for various hedge fund strategies, access to specialized hedge fund performance databases or research reports from August 2021 would be required. These may include monthly HFR strategy indices or Aurum’s detailed monthly reviews from 2021, which are not included in the current search results.
[1] Aurum Funds: [website link] [2] [Article link 1] [3] [Article link 2] [4] [Article link 3]
- Investing in the equity sector can be profitable, particularly for quantitative programs that are nimble enough to trade equity indices short in the first half of the month and long during the second half, as was observed in August 202x.
- For individuals or businesses interested in finance and investing, accessing specialized hedge fund performance databases or research reports from August 2021, such as monthly HFR strategy indices or Aurum’s detailed monthly reviews, would provide more specific performance data for various hedge fund strategies.
