Kettera Strategies' Heating Map for June 2020
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In a research report by Kettera Strategies, it was found that discretionary macro managers generally outperformed their quant and systematic counterparts in June 2020[1]. This trend aligns with a larger pattern of stronger performance by discretionary strategies compared to quant approaches amid varied market conditions.
Discretionary macro managers, known for their ability to adapt to changing market momentum and sentiment, posted positive results in June and continued to outperform their quant-driven peers year-to-date in 2025[1]. On the other hand, quant macro managers, who rely more on systematic signals, underperformed during this period, reflecting the challenges of these approaches during unpredictable market changes.
Other strategy categories in June 2020 saw mixed results. Short-term traders experienced mixed results, with performance often more volatile and sensitive to rapid shifts in market momentum. However, specific June 2020 figures were not directly available from the sources.
Equity long-short managers faced challenges during this period, as market turbulence impacted their ability to consistently profit from long and short positions. Detailed June 2020 data for these managers was not provided.
FX programs, which typically benefit from heightened currency volatility, also had varied outcomes. While no detailed June 2020 data was given for precise performance, it is likely that these programs benefited from the market disruptions caused by COVID-19.
Kettera's research methodology is based on aggregated monthly returns of programs reviewed or listed on their Hydra platform. The performance trends reflect how discretionary macro managers typically leverage market momentum and sentiment flexibly, while quant macro managers rely more on systematic signals that can lag or underperform during unpredictable market changes[1].
The Eurekahedge-Mizuho Multi-Strategy Index, the BarclayHedge Equity Market Neutral Index, and the Eurekahedge Equity Mkt Neutral Index were also mentioned in the report.
In the equity long-short category, many managers experienced a "give back" month, primarily in the first half of June. The best sectors for Systematic Trend Programs were equities indices and fixed income, while FX, short energies, and short ag commodities were the most challenging markets. Discretionary macro managers generally remained skeptical about the recent equities rally and expected the USD to strengthen.
The S&P GSCI Metals & Energy Index and S&P GSCI Ag Commodities Index were also discussed in the report. The article expresses views that do not necessarily reflect the views of AlphaWeek or The Sortino Group[1]. It is important to note that the research presented is for analysis and comparison purposes only, and not for investment.
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[1] Source: Kettera Strategies Research Report, June 2020.
Investing in technology-driven platforms like Kettera Strategies could provide insights into the performance of discretionary macro managers, enabling individuals to potentially capitalize on their successful investing strategies. However, it's crucial to understand that relying on systematic quant approaches in turbulent market conditions might not always yield the desired results, as shown by the underperformance of quant macro managers compared to their discretionary counterparts.
