Strategic Heat Map by Kettera - December 2021 Edition
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In the financial world, December 2021 saw a shift in investor sentiment as fears surrounding the Omicron variant subsided, leading to a shift towards "risk-on" strategies. This shift was evident in the currency markets, where investors sold the Japanese Yen and bought the US Dollar, and went long on commodity currencies.
In the metals sector, strategies with long exposures to precious and/or base metals performed well. The Eurekahedge Long Short Equities Hedge Fund Index and the Eurekahedge-Mizuho Multi-Strategy Index, which were already discussed, were among the indices that benefited from this trend.
However, nearly all systematic trend programs caught the long equities trade, but lost out on the weakening US dollar and longer-term fixed income positions, which were particularly painful for these systems. Short-term strategies, meanwhile, struggled with choppy markets, reversals, and stop-outs.
In the FX sector, long positions in British pounds, certain commodity currencies, and the Nordic currencies, and shorting Japanese yen and some commodity currencies with weaker balance sheets were common. The BarclayHedge Currency Traders Index and BTOP FX Traders Index, which were noted, likely reflect these trends.
Natural Gas traders with short exposure to North American markets also benefitted from the downward trending prices due to mild temperatures in North America during December.
Crude traders, on the other hand, directionally long, caught the rally in December. The Barclay Crypto Traders Index was mentioned, but no specific performance insights for December were found in the search results.
In the realm of quantitative macro strategies, most had a good month, with a theme of long equities and short fixed income. A blend of the BarclayHedge Equity Market Neutral Index with the Eurekahedge Equity Mkt Neutral Index was noted as a potential strategy that may have performed well.
The Societe Generale Trend Index and SG CTA Index were also mentioned, but no specific performance insights for December were found in the search results. The BarclayHedge Discretionary Traders Index, Barclay Ag Traders Index, and NilssonHedge Commodities CTA Index were also noted, but, unfortunately, no relevant information about the performance trends in these strategies across industrial commodities, equities, fixed income, and FX markets from Kettera Strategies as of December was found in the search results.
If you have access to a specific Kettera Strategies report or source, it would be helpful in providing more detailed performance insights.
In the industry of quantitative macro strategies, a theme of long equities and short fixed income was prevalent in December, which might have been reflected in the performance of the blend of the BarclayHedge Equity Market Neutral Index with the Eurekahedge Equity Mkt Neutral Index. Meanwhile, in the finance sector, energy traders with short exposure to North American Natural Gas markets benefited from the downward trending prices during December.
