Kettera Strategies' Heat Map for November 2022
In the financial landscape of November 202x, equity and bond markets generally rose, while the USD weakened significantly. This shift was particularly evident in the currency market, where USD/JPY fell 7.7%, AUD/USD and EUR/USD rose 6% and 5.3% respectively, following weaker-than-expected U.S. inflation numbers.
For a comprehensive comparison, Kettera Strategies employed benchmark sources that included the Eurekahedge Macro Hedge Fund Index, BarclayHedge Global Macro Index, Société Générale Trend CTA Index, and others. However, specific performance trends for November 202x were not readily available for the six requested hedge fund or commodity specialist strategy types: systematic trend strategies, discretionary global macro strategies, quant macro strategies, agricultural commodities specialists, industrial commodity specialists (energies and metals), and currency specialists.
Among the strategies for which some data was found, systematic trend strategies, such as trend-following CTAs, showed positive performance earlier in 2025, benefiting from profitable trends in currencies and stock indices. These strategies typically thrive in persistent trending markets and employ algorithmic models with short holding periods.
Quantitative trend-following strategies using moving average breakouts have demonstrated strong performance over long backtesting periods, achieving significant returns by capturing momentum in volatile markets, especially in crypto tokens.
In the case of discretionary global macro strategies, on average, they performed positively in November, with better results seen in those that waited for the USD to weaken and bonds to strengthen.
Performance across Quant Macro strategies was mixed, but those in positive territory generally saw gains in long equities, long commodities, and short coffee. Among agricultural commodities, long-biased corn and short soybeans were the least successful positions. November was generally choppy for agricultural commodities, with no significant breaks or rallies.
Base and precious metals rallied, while energies sold off. Energies traders were largely flat to negative in November due to high and choppy volatility in crude and products markets.
It's important to note that 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.
Kettera Strategies created "style baskets" for research purposes, classifying programs on the Hydra Platform. The weighting of a program in a basket depends upon which of these three groups the program falls into: systematic trend, discretionary global macro, or quant macro strategies. Style baskets are not investible products or index products. Indices and financial benchmarks shown are for illustrative purposes only and do not reflect the impact of advisory fees.
The arrows in the performance chart represent the style basket's overall performance for the month. More specialized hedge fund or commodity market reports or databases would be required to access that detailed monthly performance data for agricultural commodities specialists, industrial commodities specialists, and currency specialists.
Lastly, long term trend following strategies suffered a large loss in November due to a broad-based reversal in trends across all asset classes.
- In light of the financial landscape in November 202x, it would be interesting to explore how technology could be integrated into trend-following CTAs, such as systematic trend strategies, to capitalize on profitable trends in both currencies and stock indices.
- Considering the mixed performance across Quant Macro strategies in November, there may be potential in investing in technology that could help identify stronger opportunities in long equities, long commodities, and short coffee, while avoiding less successful positions like agricultural commodities.
