Kettera Strategies' Heat Map for July 2021
In the dynamic world of financial markets, the performance of various trading strategies was under scrutiny in July 2021. This article aims to shed light on the strengths and challenges faced by systematic trend programs and discretionary global macro strategies during this period.
Systematic Trend Programs
Directional traders found solace in the rallying wheat markets, but the star performer for those managers that include softs in their repertoire was likely coffee. Among the agricultural commodities, consolidation in some markets, including range-bound trading in corn and soybeans, provided opportunities for relative value programs.
However, the most profitable market for systematic trend programs in July 2021, as suggested by the available data, was Crude Oil futures. A winning intraday trend following strategy on Crude Oil futures (CL) in July 2025, trading on a 60-minute timeframe with clear entry/exit rules, demonstrated a strong Net Profit/Drawdown ratio and reasonable average trade profit.
In addition, systematic programs profited from short-term intraday moves in equity futures using machine-learning based models and risk-managed algorithms. Modern systematic programs, like those from R Best LLC, emphasize intraday trading in equity futures markets with an algorithmic approach targeting trending and reversion moves within the trading day.
Discretionary Global Macro Programs
For discretionary global macro programs in July 2021 specifically, the search results do not provide direct performance data or market details. However, a broad 2025 investment report mentions emerging markets and European stocks outperforming U.S. markets year to date, with regional markets and selected growth styles driving returns.
Equity indices were either slightly profitable or a mixed bag for most systematic programs, while currencies were particularly challenging. The sudden reversals and counter-reversals in equities made the stock indices much more difficult for short-term systems.
Benchmark Comparisons
The performance of systematic programs varied widely, depending on the market sectors traded. A blend of BarclayHedge Equity Market Neutral Index with Eurekahedge Equity Mkt Neutral Index, the Barclay Crypto Traders Index, and the BarclayHedge Discretionary Traders Index, Barclay Ag Traders Index, and NilssonHedge Commodities CTA Index were among the benchmarks used for comparison.
However, no direct comparison of systematic trend programs or discretionary global macro programs' July 2021 returns relative to benchmark indices is found in the results. It is worth noting that the indices and other financial benchmarks are provided for illustrative purposes only.
Conclusion
While the exact performance of systematic trend programs and discretionary global macro programs in July 2021 is not explicitly detailed in the provided search results, it is clear that Crude Oil futures were a strong market for systematic trend programs. For discretionary global macro strategies, equity indices and currencies presented challenges, with emerging markets and European stocks showing promising returns.
Specialised hedge fund performance databases or industry reports from July 2021 would be necessary for precise results by market and benchmark. The "style baskets" presented by Kettera Strategies were created for research purposes to track the category and are classifications drawn by Kettera Strategies in their review of programs on the Hydra Platform.
This article serves as a starting point for understanding the market performance in July 2021. For a comprehensive analysis, further research is encouraged.
Disclaimer: The views expressed in this article are those of the author and not necessarily those of AlphaWeek or its publisher, The Sortino Group.
Copyright © 2021 AlphaWeek Ltd. All rights reserved.
In the realm of systematic trend programs, Crude Oil futures emerged as the most profitable market in July 2021, showcasing a strong Net Profit/Drawdown ratio and reasonable average trade profit.
On the other hand, for discretionary global macro programs in the same period, equity indices and currencies posed significant challenges, while emerging markets and European stocks demonstrated promising returns.
