Monday, 20 October 2014
Last updated 2 days 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.
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
Sep 30 2014 | 9:29am ET
The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…
Most traders agree that proper risk management is the key to successful trading. However, many traders depend on the deeply flawed measure of standard deviation as a benchmark of risk. Here we put it ...