Macro trading commodities precious metals11/15/2023 ![]() ![]() Since the beginning of the year, discretionary strategies have clearly led the way, with indices returning slightly above mid-single-digit returns while systematic strategies are slightly negative. Although current average gross and net exposures are at multi-year highs, net exposures will probably decrease going forward as investors continue collecting additional data on the state, the economy and corporations, and the market reverts further to fundamentals.Īccording to indices, discretionary global macro managers outperformed systematic strategies during the month. Although diversification has not paid as well this year as being all-in in technology or growth thematics has, LS Equity as a strategy is very rich and diverse in terms of styles, possessing several tools capable of facing most market environments. Value-aware technology investors suffered during the month due to their short positions in new technology stocks versus cash-rich and lower-growth “traditional” tech companies. Early August, hedge funds were net sellers of momentum, unloading mainly semiconductors and technology hardware stocks. Momentum and value factors made irregular contributions to performance. Growth and quality factors continued to perform very well. According to prime broker data, US and Asian LS Equity funds returned on average during the month respectively +3.12% and 3.16%, outperforming European LS Equity funds – up on average +2.41%. ![]() On average, August was a good month for Long Short Equity strategies but, considering that style factors and industry tilts were the main performance alpha drivers, there was a high dispersion across the universe. The HFRX Global Hedge Fund EUR gained +1.19% over the month. Its futures contract increased by 58% in August, taking its year-to-date performance to +129%. However, this year’s best-performing commodity is lumber. Precious metals are among the best-performing commodities this year, which is understandable during crisis periods. The risk-on environment continued to be favourable to high yield, with spreads pressing further down. Sovereigns and corporate investment grade yields remained relatively stable during the month. Brazilian, Turkish and Argentinian equities declined between -3.5% and 5%. Most US equity indices returned high single-digit returns while the other developed equity markets were up low-to-mid-single digit returns. However, below the surface, equity indices experienced strong sector rotations. Growth and themes continued to push most equity indices higher. This action has resulted in reduced excess capacity for the economy and increasing pricing power and margins for industry leaders, which benefited the equity market. This time around, the Chinese stimulus programme may seem somewhat modest compared to Western economy equivalents. China decided to break out from past usual recipes of strongly supporting its economy during downturns by massively investing in infrastructure projects. ![]()
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