Strategic Analysis - November 2021 by Kettera Strategies
In November 2021, Kettera Strategies' programs showed a mix of results across various sectors, with some strategies outperforming others. Here's a breakdown of the performance trends observed:
Systematic Trend Programs
These programs generally experienced positive returns, benefiting from trending markets during the month. The BarclayHedge Currency Traders Index and BTOP FX Traders Index, among others, indicated a strong performance in foreign exchange strategies. Model-based and systematic currency specialists seemed to have an edge in November, versus their discretionary brethren.
Industrial Commodities Specialists
The performance of industrial commodities specialists was mixed. While some gains were driven by continued demand in industrial metals and energy, volatility from supply concerns weighed on overall returns. Metals traders were generally down on the month with losses in base metals spreads, and precious markets, namely long platinum positions.
Agricultural Commodities Specialists
Performance among agricultural commodities specialists was varied. Certain crops experienced price strength due to weather disruptions, while others were more subdued. Agricultural commodities, particularly cotton, sugar, coffee, and cocoa, corrected on the Covid developments. However, the comments from Moderna CEO about the ineffectiveness of Covid vaccines on the Omicron variant caused quick reversals in these trends on November 26.
FX Strategies
FX strategies delivered modest positive returns, influenced by currency fluctuations and central bank policy cues during the month. Those managers that maintained a substantive long position in the US Dollar against the currencies of emerging market and commodities-based countries fared the best.
Energy Specialists
Many energy specialists were either long outright, or held long-biased relative value spreads. Unfortunately, many programs were caught long the crude oil market when markets suddenly reversed on the late-November Covid news. As a result, long Crude positions suffered the most across the LTTF managers followed.
Other Notable Trends
- The most popular position appeared to be long USD / short euro.
- A few natural gas traders avoided the petroleum carnage and profited substantially by only focusing on short exposure to N.American natural gas markets.
- Short Fixed Income positions hit some programs badly as the world went "risk-off" in a hurry.
- Global equities sold off quickly in the last days of the month, after many hitting all-time highs earlier.
- The Eurekahedge Long Short Equities Hedge Fund Index, Eurekahedge-Mizuho Multi-Strategy Index, CBOE Eurekahedge Relative Value Volatility Hedge Fund Index, Blend of BarclayHedge Equity Market Neutral Index and Eurekahedge Equity Mkt Neutral Index, IndexIQ Hedge Global Macro Beta Index, and Societe Generale Trend Index were among the benchmark sources used.
Disclaimer
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This article is a reprint from AlphaWeek.
In the realm of finance, systematic trend programs, particularly those in foreign exchange strategies, demonstrated strong performance in November 2021, as indicated by indices like the BarclayHedge Currency Traders Index and BTOP FX Traders Index. On the other hand, some energy specialists, who were predominantly long in the crude oil market, suffered losses when markets reversed due to late-November Covid news.
