Strategic Analysis Map by Kettera - Jan 2020
In January, the financial landscape painted a mixed picture for various investment strategies.
Most "single sector" strategies, such as equities or foreign exchange (FX), recorded positive returns. However, a notable exception was long-short managers in equities strategies, which posted negative returns due to disruptions in the equity market. On the other hand, equities market neutral programs seemed to generate more positive results.
The performance of systematic trend programs was particularly noteworthy. They had a very good month, with profitable programs generally long the European and North American fixed income and short-term interest rate markets.
Discretionary macro programs, meanwhile, outperformed, catching rallies in gold, US treasuries, and the correction in industrial metals.
The S&P GSCI Metals & Energy Index and S&P GSCI Ag Commodities Index, the Eurekahedge-Mizuho Multi-Strategy Index, the Eurekahedge Long Short Equities Hedge Fund Index, and the CBOE Eurekahedge Relative Value Volatility Hedge Fund Index were among the indices that saw action in January.
However, most quant macro programs ended flat to down, with wrong picks on non-US fixed income markets being the most prevalent culprit.
While the performance of AI and machine learning-based managed futures programs, particularly in G10 fixed income markets, was not explicitly detailed in the available search results, it's clear that these technologies offer valuable tools and enhancements to managed futures trading. AI trading systems, including those using machine learning, can process vast real-time data streams and automate decision-making with improved speed, accuracy, and scalability, which is critical in fast-moving markets like fixed income.
Despite the potential, AI trading tools do not currently offer the average market participant measurable, long-term return advantages in retail settings. The real-world effectiveness varies and requires rigorous backtesting and continuous adaptation to market changes.
Interestingly, AI and machine learning-based strategies enjoyed profits in January, with the most profitable AI-driven managed futures program generating almost all its profits from G10 fixed income markets.
Index data is reported as of the date of publication and may be a month-to-date estimate if all underlying components have not yet reported. The index providers may update their reported performance from time to time.
A blend of the BarclayHedge Equity Market Neutral Index with the Eurekahedge Equity Mkt Neutral Index was also in the spotlight. Increased volatility appears to be paying off for these managers.
It's important to note that the style baskets referenced are research tools created by Kettera for analysis and comparison purposes, not investible products or index products. They are not meant to stimulate interest in any underlying or associated program.
The BarclayHedge Currency Traders Index and BTOP FX Traders Index were also mentioned in the context of January's market performance. Indices and other financial benchmarks shown are for illustrative purposes only.
In conclusion, while AI and machine learning contribute valuable tools and enhancements to managed futures trading in G10 fixed income markets, the search results did not confirm consistent, significant long-term performance gains solely attributable to AI-based trading systems versus traditional approaches. The real-world effectiveness varies and requires rigorous backtesting and continuous adaptation to market changes.
In January, AI and machine learning-based managed futures programs, particularly in G10 fixed income markets, showed profits, even though they may not offer the average market participant measurable, long-term return advantages in retail settings. However, data-and-cloud-computing technology, such as AI trading systems, provide valuable tools that enhance decision-making in fast-moving markets like fixed income, offering improved speed, accuracy, and scalability. Also, the performance of technology- driven investment strategies, like systematic trend programs, was particularly noteworthy in January, with profitable programs being long the European and North American fixed income markets.
