Kettera Strategies' Geographic Analysis - May 2023
Despite challenging conditions in G7 currencies, FX managers had a strong month in May, according to Kettera Strategies, a firm specialising in research tools for analyzing and comparing FX and macro-driven programs. The performance of different categories of programs was tracked on the Hydra Platform using "style baskets," which are classifications created from monthly returns of programs currently or formerly on Hydra, or under review with an expectation of being added to Hydra.
In the energy sector, managers did well in May, with the most profitable programs found in crude oil, natural gas, and power markets. However, metals specialists struggled during the same period. The weighting of a program in a basket depends upon which of the three groups the program falls into.
Systematic trend programs had a positive month in May, but there was a great deal of dispersion in returns across programs. For quant macro strategies, the best trades were short European fixed income and short agricultural commodities. Many discretionary fundamental macro managers struggled in May, especially in fixed income, while many systematic trend managers suffered setbacks in JGBs due to a sudden sell-off.
Some FX managers also made profits from moves in certain emerging markets, such as long Mexican peso vs USD. The bull move in the USD was the main theme in FX during May, with profitable trades for long-term macro driven programs being long the US dollar versus the Japanese yen and euro.
The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group. It's important to note that style baskets are not investible products or index products, but are meant for analysis and comparison purposes only. The indices and financial benchmarks shown are for illustrative purposes only, do not reflect the impact of advisory fees, and may be subject to updates from time to time.
For specific information on the top performing currency, discretionary macro, quant macro, systematic trend, and commodities specialist strategies reported by Kettera Strategies for May 20XX, consulting their published heat maps or reports directly would be necessary. The search results do not provide specific information on the top performing strategies for that particular month.
[1] [Relevant Reference 1] [2] [Relevant Reference 2]
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