Short-Term trading strategies solid month
AI and Machine Learning hedge funds struggle
Systematic Trend following returns strong
What's Working In Tactical Asset Allocation Strategies
Sneak peek at August hedge fund and managed futures returns from Kettera Hydra Platform Investor Letter.
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Breakdown of August Hedge Fund Returns
*Past performance is not indicative of future results. Not Investment Advice. See Notes Below.
Kettera Strategies Hedge Fund Platform Key Insights
#1 Many of the equities-based strategies we track – both L/S equities and market neutral - seemed to have a challenging month given the choppy sideways markets.
#2 For systematic trend following strategies, we offer the same headline as last month: They again continued their strong performance. The Societe Generale Trend Index is now at or around up 20% YTD level. Long fixed income trades and (various directional) commodities positions appeared to drive the bulk of their performance, and equities indices appeared to be either inconsequential or slightly negative for these programs.
#3 Short-term and higher-frequency programs also seem to be on a good run this year. Our own short-term style basket is now positive for the third month in a row. There were some notable exceptions for managers with slightly longer holding periods.
#4 Most agriculture- commodities specialists generally seemed to struggle, where negative numbers for July and August (as measured by our style basket and the benchmarks) appear to have surrendered much of the gains from earlier this year.
#5 Global macro programs’ performance varied by market concentration and style (model-driven vs discretionary). Quant and model-driven strategies capitalized once again on fixed income moves, while discretionary managers were more mixed.
#6 Currency specialists also continued their positive performance run. One theme we noted in August was the profitability of positions in JPY-based cross-rates.
The information set forth herein has been obtained or derived from sources believed by the author to be reliable. However, neither Kettera nor the author make any representation or warranty, express or implied, as to the information's accuracy or completeness, nor do Kettera or the author recommend that the attached information serve as the basis of any investment decision. This is provided to you solely for informational purposes only and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such.
For the “style classes” and “baskets” presented in this letter: The “average” referred to above is an average of two inputs: (i) performance of a “style basket” created by Kettera for research purposes to track the category and (ii) the third-party benchmark for that category. The “style basket” for a class is crated from monthly returns (net of fees) of programs that are either: (1) currently listed programs on Hydra, (2) programs that have been de-listed or terminated from Hydra (for a holdover period of 12 months), or (3) programs currently under review by Hydra with an expectation of being on-boarded. The weighting of a program depends upon which of these three groups the program falls into; programs of a common group are equally weighted (and not volatility adjusted). These baskets are not investment products or index products being offered to investors. They are meant purely for analysis and comparison purposes, so the reader can gain a greater understanding of a style class. These also were not created to stimulate interest in any underlying or associated program.
Nonetheless, as these research tools may be regarded to be “hypothetical” combinations of managers, please read the following warning: HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY PRODUCT OR ACCOUNT WILL ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
3-The Societe General Short-term Traders Index: (same link as above)
4-The EurekaHedge AI Hedge Fund Index
5-The BarclayHedge Currency Traders Index and BTOP FX Traders Index can be found at: http://www.barclayhedge.com/
8-The Eurekahedge-Mizuho Multi-Strategy Index: (See above)
9-The Eurekahedge Long Short Equities Hedge Fund Index: (See above)
11- The Eurekahedge Market Neutral Hedge Fund Index: (See above)