Wednesday, 20 August 2014
Last updated 1 hour ago
Feb 13 2012 | 10:37am ET
With event driven strategies leading the way, hedge funds gained about 1.78% in January 2012, trailing the S&P 500 which gained 4.36%.
Event driven funds, according to the latest Hedge Fund Monitor from Bank of America Merrill Lynch, added 2.98% in January. Short bias funds, on the other hand, turned in the worst performance, losing 2.51%—on the bright side, short bias was the only strategy that lost ground last month.
The report also looks at hedge fund positioning by major strategies, noting that in January, market neutral funds sold market exposure to 1% from 6% net long. Long/short strategies sold market exposure to 21% from 26% net long. Macro funds sold U.S. dollars, partially covered commodities and expanded their shorts in the S&P 500, NASDAQ 100 and 10-year Treasury funds. Macro funds also aggressively covered their shorts in emerging markets and Europe, Australia and Southeast Asia.
As for significant moves by hedge funds across asset classes, an analysis of CFTC data by BofAML analyst Mary Ann Bartels and her team showed that large speculators partially covered S&P 500 Russell 2000 while buying NASDAQ 100 to a record $5.9 billion notional net long.
In the agriculture sector, large specs bought soybean and corn while holding steady wheat, which remains in a crowded net short.
January also saw large specs buying metals across the board; buying crude, heating oil and gasoline; partially covering the euro while selling U.S. dollars and yen; and selling 2-year Treasures while adding to their shorts in 10-year Treasuries.
Aug 4 2014 | 7:42am ET
By now, U.S. and international subscribers have received their home or office delivery of the special 500th issue of Futures magazine. You can too!—a very special offer follows. The issue is the largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders. Read more…
The July/August 2014 issue is our largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders.
The Alpha Pages Editor's Note