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Strategic Heat Map by Kettera - December 2021 Edition

Strategies involving extended investments in precious and base metals demonstrated strong performance, whether through direct wagers or combinations (spreads)

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Kettera Strategies' December 2021 Heat Map Analysis
Kettera Strategies' December 2021 Heat Map Analysis

Kettera Strategies Performance Review – December 2021 (Continued)

6. Equity Strategies

  • Performance: Strong performance across the board, with a majority of systems capturing the long equities trade.
  • Analysis:
  • The prevailing market sentiment was bullish, with major equity indices reaching new highs in December.
  • Kettera's equity strategies, including Equity Market Neutral (BarclayHedge and Eurekahedge Equity Market Neutral Indices), Eurekahedge-Mizuho Multi-Strategy Index, and Eurekahedge Long Short Equities Hedge Fund Index, all performed well.
  • The blend of BarclayHedge Equity Market Neutral Index and Eurekahedge Equity Mkt Neutral Index was effective in managing risk while participating in the rally.

7. Fixed Income Strategies

  • Performance: Difficult month for fixed income strategies, particularly short-term strategies in N. America and Europe.
  • Analysis:
  • Fixed income markets were characterized by choppy conditions, reversals, and stop-outs due to shifting interest rate expectations and macroeconomic uncertainties.
  • Short-term strategies struggled in this environment, with losses incurred in N. American and European markets.
  • The Barclay Crypto Traders Index, BarclayHedge Currency Traders Index, and BTOP FX Traders Index were relatively unaffected by these challenges.

8. Currency Strategies

  • Performance: Mixed results in FX markets, with some systems benefitting from long positions in certain currencies and others experiencing losses.
  • Analysis:
  • FX markets were volatile, with rapid shifts in interest rate differentials and risk sentiment.
  • Initially, a "risk-off" positioning prevailed, with long USD positions being common. However, when Omicron fears subsided, investors switched to "risk-on," leading to selling of the JPY and buying USD, and going long commodity currencies.
  • In the FX sector, long positions in British pounds, certain commodities currencies, and the Nordic currencies were common, while shorting Japanese yen and some commodities currencies with weaker balance sheets was prevalent.
  • The Societe Generale Trend Index and SG CTA Index were effective in navigating these market conditions.

9. Alternative Strategies

  • Performance: Mixed results across alternative strategies, with some strategies performing well while others faced challenges.
  • Analysis:
  • Alternative strategies such as the BarclayHedge Discretionary Traders Index, Barclay Ag Traders Index, and NilssonHedge Commodities CTA Index showed varying performance.
  • Crude traders directionally long caught the rally in December, contributing to positive returns.
  • On the other hand, metals strategies with long exposures to precious and base metals faced challenges, with some underperforming.
  • The CBOE Eurekahedge Relative Value Volatility Hedge Fund Index and the Eurekahedge AI Hedge Fund Index were effective in managing risk and generating returns in a volatile market.

Summary

Strategic Heat Map by Kettera - December 2021 Edition

Kettera Strategies' December 2021 performance demonstrated the importance of a diversified portfolio across various systematic approaches. While equity strategies performed well, fixed income strategies struggled in choppy markets. Currency strategies showed mixed results, with some systems benefitting from long positions in certain currencies and others experiencing losses. Alternative strategies also demonstrated varying performance, with some strategies performing well while others faced challenges. The ability to adapt models and implement risk controls remains crucial in navigating evolving market conditions.

  1. Despite mixed results in FX markets, Kettera's currency strategies, such as the Societe Generale Trend Index and SG CTA Index, demonstrated effectiveness in navigating market volatility.
  2. In the realm of alternative strategies, the performance of Kettera Strategies was characterized by mixed results, with the CBOE Eurekahedge Relative Value Volatility Hedge Fund Index and the Eurekahedge AI Hedge Fund Index being instrumental in managing risk and generating returns in a volatile market.

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