Kettera Strategies' Heat Map for June 2020
In the realm of hedge funds, the performance of various strategies in June 2020, particularly those with a focus on FX markets and market momentum, remains elusive in the available search results. However, we can draw some insights from general hedge fund performance data, albeit not specific to the requested strategies and time frame.
Systematic Trend Programs
According to the BarclayHedge Currency Traders Index and BTOP FX Traders Index, Systematic Trend Programs had a mixed to slightly negative performance in June. The best sectors for these programs were equities indices and fixed income. Notably, long trades in tech stocks benefited the most among equity long-short managers, while financial companies detracted the most.
Equity Long-Short Managers
Equity long-short managers faced a challenging month in June, particularly in the first half. A "give back" month was experienced, as the gains made earlier in the year were partially reversed. The Eurekahedge Long Short Equities Hedge Fund Index reflects this trend.
A Mixed Picture for FX Markets
Most USD-based exchange rates and rates among the "big four" currencies were range-bound with lowered volatility in June. However, the picture was more complex for Systematic Trend Programs, which faced their most challenging markets in FX, short energies, and short ag commodities.
Many discretionary macro managers were skeptical of the recent equities rally and expected the USD to strengthen. This expectation was not borne out in June, as the dollar remained relatively stable against major currencies.
The Role of Quant Strategies
While direct comparison data is scarce, it's worth noting that quant strategies, such as those represented by the CBOE Eurekahedge Relative Value Volatility Hedge Fund Index, often performed well in 2020 due to large trend movements in FX and commodities. This suggests that quant macro and systematic trend-following programs may have benefited from momentum during this period.
For a precise, data-backed comparison like the one requested, consulting specialized hedge fund performance databases (e.g., HFR, Eurekahedge) or reports focusing on that time frame and strategies would be necessary. The Eurekahedge AI Hedge Fund Index, Eurekahedge-Mizuho Multi-Strategy Index, and the S&P GSCI Metals & Energy Index, among others, could provide valuable insights.
This guest article is written by an author whose views may not necessarily reflect those of AlphaWeek or its publisher, The Sortino Group. The publication is copyrighted by The Sortino Group Ltd.
In the context of hedge fund performance, quant strategies such as Systematic Trend Programs and those represented by the CBOE Eurekahedge Relative Value Volatility Hedge Fund Index, were notable for their performance in 2020, particularly in FX and commodities markets, suggesting potential benefits from momentum-based investing in these sectors. On the other hand, Equity Long-Short Managers faced a challenging month in June, with a "give back" trend that partially reversed the gains made earlier in the year.
