Wednesday, 30 July 2014
Last updated 9 hours ago
Feb 21 2012 | 9:56am ET
The Bank of America Merrill Lynch investable hedge fund composite index was up about 0.80% for the month as of February 15.
Event driven and equity long/short strategies were the best performers, adding 1.44% and 1.30%, respectively. Equity market neutral were the worst performing funds, losing 0.19%.
BofAML analyst Mary Ann Bartels says their models indicate that market neutral funds bought market exposure to 3% from 1% net long while equity long/short bought market exposure to 23% from 21% net long. Macros aggressively sold U.S. dollars and bought commodities to a net long for the first time in two month, while noticeably covering their shorts in the S&P 500, NASDAQ 100 and 10-year Treasury futures. In addition, macro hedge funds bought both EM and EAFE to a net long.
An analysis of Commodity Futures Trading Commission data for the monitored period showed large speculators adding to their shorts in the S&P 500, while buying NASDAQ 100 and Russell 2000. As a result, the NASDAQ 100 is in a crowded net long, reports Bartels.
In agriculture, large specs bought soybean while adding to their shorts in wheat, which remains in a crowded short. Metal speculators sold gold and bought silver, copper and platinum. Energy speculators bought crude, which stays in a crowded long, and gasoline while selling heating oil. As for forex, speculators sold the euro, which stays in a crowded short, and the dollar, which stays in a crowded long. Large specs aggressively sold two-year Treasuries, which moved out of a crowded long.
Jul 8 2014 | 10:48am ET
The surge in derivatives regulation is among the most complex challenges facing the financial services industry today. Northern Trust’s Joshua Satten recently spoke with FINalternatives to share insights into the challenges presented by new regulation and explore how the industry is responding. Read more…