December 2023 Strategic Overview by Kettera Strategies
In the world of managed futures, December saw a mixed bag of results, with some strategies performing exceptionally well while others struggled to keep up.
The style basket performance for a class of managed futures programs is based on monthly returns (net of fees) of programs either currently or formerly on the Hydra platform, or under review with an expectation of being added to Hydra.
Discretionary Global Macro strategies showed positive performance in December, albeit with wide dispersion between the best and worst performers. Successful programs were primarily long US, UK, and/or Euro bonds (falling yields) and long global equities. However, FX was a challenging sector, with short Japanese Yen exposure vs. USD being particularly harmful for most programs, and long USD exposures overall being punished.
On the other hand, some managers performed very well in softs, largely those short sugar and/or long cocoa, using both outright directional futures or directional options strategies. Grains and livestock programs were generally positive in December, when market fundamentals painted a picture agreed upon by most traders.
In contrast to their discretionary brethren, the December performance for quantitative macro managers was mixed. Positive quantitative macro programs were generally long equities, long bonds, and underweight the losses in FX and commodities. Trend follower strategies had several programs on the Kettera platform that were positive, despite the trend follower benchmarks being negative. However, trend follower also appeared to suffer in commodities, although there were small gains in precious metals and softs offset by outsized losses in choppy energies markets and grains.
Most programs in Systematic Trend Following were positive or flat in either equities or fixed income/rates. Commodities provided positive performance for some Discretionary Global Macro programs, and negative for others.
It's important to note that the views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group. To find the performance for specific strategies such as Systematic Trend Following, Discretionary Global Macro, Quantitative Macro, and Commodity Specialists – Agricultural Markets strategies for December, one would typically need to check Kettera Strategies’ official website or investor reports, review monthly or quarterly performance reports sent to investors, look up third-party financial databases or platforms that track hedge fund and alternative strategy performance, or contact Kettera Strategies directly for the latest performance data.
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In the realm of finance, investors exploring technology-driven managed futures might find intrigue in the performance of quantitative macro managers, as their strategies incorporate mathematical models for decision-making. Interestingly, these strategies, although showing mixed results in December, were generally long equities, long bonds, and underweight the losses in FX and commodities, offering a potential avenue for tech-savvy investors to consider when weighing their options in the managed futures sector.
