Kettera Strategies' March 2022 Heat Map
In March, commodity strategies and global macro programs experienced a surge in performance, according to Kettera Strategies. The most profitable themes for these programs were short positions in short-term rates and bonds, long USD against the JPY and Euro, and commodities.
Kettera Strategies uses the Hydra Platform to review programs and create style baskets for research purposes. These style baskets, based on monthly returns of programs on Hydra, under review for Hydra, or expected to be added to Hydra, showed that longer-term trend following strategies had one of their best months in the last 20 years.
Discretionary Global Macro strategies also performed well, with long petroleum and products positions, short positions in short-term rates and bonds, and long USD versus the JPY and Euro. Directional long and long-biased spreads positions in energies and related products performed best for Industrial Commodities managers.
However, it's important to note that the benchmark sources used by Kettera are provided for illustrative purposes only and do not reflect the impact of advisory fees. Moreover, hypothetical performance results of style baskets have many inherent limitations, including the fact that they are generally prepared with the benefit of hindsight.
While specific performance metrics of commodity specialists in agricultural and industrial commodities in March 2022 are not found in the provided results, some general contextual information can be inferred. According to Fiducient Advisors' 2025 mid-year marketable alternatives update, commodity managers were among the more challenged within the Macro strategy space, with Commodity and Systematic Diversified managers weighing most heavily on performance during difficult months. This points to volatile or negative returns in commodity sectors around that period but does not specify March 2022 nor break out by agriculture versus industrial commodities.
Equities were mixed in March, with an initial sell-off due to war fears in the Ukraine, replaced by a mid-month rally due to general optimism. Higher-frequency and short-term programs had positive results in March, with currencies comprising the best sector for nearly every ST manager that includes this sector.
Kettera uses various benchmarks for comparison, including the Eurekahedge Macro Hedge Fund Index, BarclayHedge Global Macro Index, Société Générale Trend CTA Index, and others. It's worth noting that the views expressed in the article are those of the author and do not necessarily reflect the views of AlphaWeek or The Sortino Group. Style baskets are not created to stimulate interest in any underlying or associated program. They are not investible products or index products and are meant for analysis and comparison only.
One notable event in the wheat market was that March was a month for the history books, with the front contracts in Chicago wheat trading limit up on several consecutive days. This surge in the wheat market could have contributed to the overall positive performance of commodity strategies.
In conclusion, while specific performance metrics for commodity specialists in March 2022 are not readily available, it is clear that commodity strategies and global macro programs experienced a surge in performance, with energy and currency positions leading the way. This surge in performance could be attributed to a variety of factors, including the surge in the wheat market and the general optimism in the equities market. However, it's important to remember the inherent limitations of hypothetical performance results and the challenges that commodity managers faced in early 2022.
Investing in data-and-cloud-computing technology could be beneficial for Kettera Strategies, as they use the Hydra Platform for reviewing programs and creating style baskets. This platform could potentially improvise the analysis and comparison of various programs, including trend following strategies and discretionary global macro strategies.
Furthermore, it's plausible that advancements in technology, such as quantitative trading algorithms and machine learning tools, could help in forecasting market trends, thus aiding in making profitable investments in finance, particularly in the commodities sector.
