Kettera Strategies' Heat Map for June 2021
In June 2021, the financial markets presented a mix of challenges and opportunities for various investment strategies. Despite some setbacks, systematic trend programs generally held a positive outlook, particularly among fundamental relative value and spread specialists.
The performance of systematic trend programs can be attributed to several key factors across different asset classes.
Fixed Income
The decline in treasury yields during June significantly influenced systematic trend strategies. Duration-neutral positioning and credit selection, particularly overweight to financials and industrials subsectors, contributed positively to relative performance. Yield curve positioning and convexity bias had limited material impact.
Currency and Commodities
Commodities experienced rallies extending into mid-2025, suggesting a positive trend momentum in commodity-related strategies. Currency sector involvement in dynamic long-short allocation across distinct sectors is part of systematic programs, indicating currency trends were actively traded.
Discretionary Global Macro
These strategies rely on multi-asset allocation and discretionary analysis of macroeconomic trends. Systematic programs dynamically allocate risk across equities, fixed income, currencies, and commodities by using momentum and reversal signals, often intraday for equity futures. Their performance depends on the strength and persistence of trends in each sector.
In June, shorter-term technically-driven programs seemed to be outperformers. However, for many discretionary global macro managers, June was a reversal of May's performance, with long gold and short US dollar positions completely reversing. Crude strategies also had a positive performance, with prices reaching their highest levels since the pandemic began.
Commodities saw mixed results, with gains in energy markets offset by losses in precious metals and grains markets. The hawkish U.S. Fed announcement mid-month led to robust price movements in the short and medium term.
The BarclayHedge Currency Traders Index, BTOP FX Traders Index, and BarclayHedge Discretionary Traders Index, along with the Barclay Ag Traders Index and NilssonHedge Commodities CTA Index, were among the indices that saw action during this period. The Eurekahedge-Mizuho Multi-Strategy Index, a blend of BarclayHedge Equity Market Neutral Index and EurekaHedge Equity Mkt Neutral Index, also played a role.
The EurekaHedge AI Hedge Fund Index and the Eurekahedge Long Short Equities Hedge Fund Index were also mentioned in the context of June's market activities. The Barclay Crypto Traders Index, while not specifically mentioned in relation to June's performance, is another index to watch in the rapidly evolving crypto market.
In summary, systematic trend performance in June 2021 reflected the influence of declining treasury yields in fixed income, ongoing trends in commodities, and active risk allocation across asset classes driven by momentum and technical signals. The fixed income sector saw particularly impactful sector and credit positioning, while discretionary global macro and systematic trend programs leveraged cross-asset momentum and reversal signals to manage risk and returns.
[1]: Source for fixed income information [4]: Source for currency and discretionary global macro information [5]: Source for commodities information
Investors who focus on systematic trend programs found several favorable avenues for investing in various asset classes during June 2021. Given the decline in treasury yields, fixed income offered significant opportunities via duration-neutral positioning and credit selection, particularly in the financials and industrials subsectors. Similarly, commodities strategies profited from the positive trend momentum extending into mid-2025, while discretionary global macro managers actively traded currency trends within dynamic long-short allocation schemes.
