Kettera Strategies' Heat Map for November 2020
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In November, the long-short equities sector posted one of its best months in recent memory, according to a report by Kettera Strategies. This strong performance was largely due to systematic, long-term trend-following strategies that generated positive returns with consistent performance attribution across programs.
Many managers capitalised on this trend, selling US dollars to buy 'risk on' currencies like the South African rand and Brazilian real. This move was likely a response to the prevailing market trends during that period, contributing to the positive performance of long equities.
The energy and financial sectors, often referred to as 'pandemic losers', also saw a strong rebound, with many 'pandemic loser' stocks jumping strongly. This could be attributed to the optimistic outlook on the global economy, which is a typical driver for these sectors.
The success of long equities was a common theme among the most profitable managers. In fact, the Eurekahedge Long Short Equities Hedge Fund Index, a benchmark for the global long-short equities hedge fund industry, would have benefited from this trend.
Model-based macro strategies generally performed well in November, with the Eurekahedge-Mizuho Multi-Strategy Index and the CBOE Eurekahedge Relative Value Volatility Hedge Fund Index being notable examples. However, commodities markets were a mixed bag for most model-based strategies, with most systematic trend programs being positive for the month, largely thanks to long equities positions and long industrial commodities.
Interestingly, a blend of the BarclayHedge Equity Market Neutral Index with the Eurekahedge Equity Mkt Neutral Index was also mentioned. This could suggest a strategy aimed at balancing the risks associated with long equities positions.
The Barclay Crypto Traders Index was another index that saw some activity, although its performance was not as pronounced as the equities market. The Eurekahedge AI Hedge Fund Index, a benchmark for AI-driven hedge funds, was also mentioned, indicating the growing importance of AI in the hedge fund industry.
Despite the strong performance, detailed specifics of the key factors driving November’s strong long-short equities returns were not explicitly elaborated in the publicly available sources. The strength was primarily attributed to Kettera’s systematic trading methodology. For more granular insights, examining Kettera Strategies’ full November report or investor communications would provide valuable information about which equities, sectors, or market conditions specifically contributed to this strong performance.
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Investors who employ long-term trend-following strategies in the finance sector, specifically in the equities market, might have benefited significantly, given the strong performance of long equities in November. That month, many managers also invested in 'risk on' currencies like the South African rand and Brazilian real, potentially boosting their returns from investing in equities.
