Kettera Strategies' May 2024 Heat Map Unveiled

In the financial landscape of May, performance varied significantly across different hedge fund strategies, according to Kettera Strategies, a research entity that creates style baskets for analysis and comparison purposes.

The indices and financial benchmarks shown by Kettera are provided for illustrative purposes only, reflecting reinvestment of income and dividends, and do not account for advisory fees. It's important to note that the indices do not represent investible products or index products and are not intended to stimulate interest in any underlying or associated program.

The style baskets created by Kettera are based on monthly returns (net of fees) of programs either currently or formerly on the Hydra Platform, or under review with an expectation of being added to Hydra. The weighting of a program in a basket depends upon into which of three groups the program falls.

Energy strategies, both fundamental discretionary and model-driven, had a challenging month in May. The weak demand for crude oil and a surprising rally in US natural gas prices resulted in setbacks, particularly for long positions in crude oil and derivative products, as well as short exposures in US natural gas. On the other hand, fundamental metals traders fared better, with both precious and industrial metals rallying.

In commodities, big losses from long energies (crude and refined products) were recorded, while Nat Gas rallied against short positions. Choppy price action in fixed Income markets also resulted in setbacks, mostly occurring at the start and end of the month. Most macro managers' performance in fixed income (short-term rates and long-term bonds) was choppy and generally difficult throughout the month.

Positions in FX rates, particularly long US Dollar exposures vs. "commodity currencies" (MXN, Aussie, NZL, CAD) and G5 units (British Pound, Euro), performed the worst. Long US Dollar vs. G10 (Aussie, CAD, NZD, GBP, EUR) and Asia (ex-Japan), and long USD vs. emerging markets (MXN) posted sizeable losses in FX.

Discretionary fundamental Agricultural Programs also faced a difficult month, particularly for those with a bearish stance in the soybean complex, wheat, and live cattle markets. Losses in short Ags exposures (soybeans, soymeal, wheat) were punished during short squeezes caused by weather and supply chain disruptions.

For the month of May, Quantitative Global Macro Programs had a difficult month, with most experiencing setbacks. Systematic Trend Programs also had a negative month overall, with losses ranging from -0.5% to -5.0%.

It's worth noting that the performance of each style basket is represented by an arrow, indicating overall performance for the month. For instance, a solid red down arrow indicates the basket was largely negative compared to most months.

A unique circumstance in COMEX' Copper markets caused a very dramatic shortage of copper, resulting in some managers booking unrealized losses. Managers relying on fundamental econometric data struggled more than those focused on price-based models.

The identity-defining person or institution managing Kettera Strategies and operating the hedge fund strategies described in the referenced article is not explicitly mentioned in the provided search results. The views expressed in the article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group.

In summary, the financial markets in May presented a mixed bag of results, with some strategies experiencing significant losses while others managed to weather the storm. As always, it's crucial for investors to conduct thorough research and consider their risk tolerance before making investment decisions.