Global Macro most profitable positions were short G10 government bonds, long equities
Traditional systematic trend strategies continued their slide from last month
Commodities specialists (metals and energies) seemed to end the month profitably
What's Working In Tactical Asset Allocation Strategies
Sneak peek at October hedge fund and managed futures returns from Kettera Hydra Platform Investor Letter.
Kettera Hydra platform gives qualified investors the ability to access top-tier fully vetted macro, managed futures, FX and hedge fund managers at lower investment minimums and the same fee structure as direct managed accounts.
The platform separates the "wheat from chaff" and only lists best-in-class managers. Kettera conducts rigorous due diligence on each manager before a manager is approved on the platform.
Breakdown of October Hedge Fund Returns
Kettera Strategies Hedge Fund Platform Key Insights
#1 In global macro, the discretionary programs we track seemed to end the month flat to positive. The most profitable positions were short G10 government bonds, long equities, and long various emerging market bonds and currencies. These were offset somewhat by exposures in G10 currencies. The “quant,” or model-driven, macro programs did not fare as well. Setbacks came largely at the hands of, once again, fixed income markets – although we noted more profitable trading coming from Australian and Asian markets with losses from North American and European instruments.
#2 Most of the larger traditional systematic trend strategies continued their slide from last month. The leading source of losses across the board was fixed income (once again) and G10 FX rates. Many managers offset this partly with gains in global equities and precious metals.
#3 Most (but not all) short-term and higher-frequency programs ended the month flat to slightly down. While ST/high frequency programs are a varied lot, the index markets seemed to offer the most profits, both buying and shorting on a near-term basis.
#4 Many industry commodities specialists (metals and energies) seemed to end the month profitably. Some of the more successful positions were spreads in the energy markets.
#5 The performance of the various equities-based strategies were varied. Market neutral strategies we follow appeared to struggle during the month amidst the decline in stock market volatility, both implied and realized.
The information set forth herein has been obtained or derived from sources believed by the author to be reliable. However, neither Kettera nor the author make any representation or warranty, express or implied, as to the information's accuracy or completeness, nor do Kettera or the author recommend that the attached information serve as the basis of any investment decision. This is provided to you solely for informational purposes only and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such.
For the “style classes” and “baskets” presented in this letter: The “average” referred to above is an average of two inputs: (i) performance of a “style basket” created by Kettera for research purposes to track the category and (ii) the third-party benchmark for that category. The “style basket” for a class is crated from monthly returns (net of fees) of programs that are either: (1) currently listed programs on Hydra, (2) programs that have been de-listed or terminated from Hydra (for a holdover period of 12 months), or (3) programs currently under review by Hydra with an expectation of being on-boarded. The weighting of a program depends upon which of these three groups the program falls into; programs of a common group are equally weighted (and not volatility adjusted). These baskets are not investment products or index products being offered to investors. They are meant purely for analysis and comparison purposes, so the reader can gain a greater understanding of a style class. These also were not created to stimulate interest in any underlying or associated program.
Nonetheless, as these research tools may be regarded to be “hypothetical” combinations of managers, please read the following warning: HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY PRODUCT OR ACCOUNT WILL ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
3-The Societe General Short-term Traders Index: (same link as above)
4-The EurekaHedge AI Hedge Fund Index
5-The BarclayHedge Currency Traders Index and BTOP FX Traders Index can be found at: http://www.barclayhedge.com/
8-The Eurekahedge-Mizuho Multi-Strategy Index: (See above)
9-The Eurekahedge Long Short Equities Hedge Fund Index: (See above)
11- The Eurekahedge Market Neutral Hedge Fund Index: (See above)