BofAML Investable HF Index Climbs Over 2% YTD

Feb 27 2012 | 12:48pm ET

Bank of America Merrill Lynch’s investable hedge fund composite index was up roughly 2.36% year-to-date as of February 22, still trailing the S&P 500 (up 5.60%) and led by event driven and equity long/short strategies.

The latest Hedge Fund Monitor from BofAML analyst Mary Ann Bartels shows event driven funds were up 4.77% in the monitored period while equity long/short funds added 3.27%. The worst performers were equity market neutral funds, which shed 0.19%.

In terms of market positioning, Bartels says their models show market neutral funds bought market exposure to 5% from 3% net long and equity long/short sold exposure to 21% from 23% net long. Meanwhile macros “slightly bought” commodities, EAFE and EM exposures and partially covered their shorts in the S&P 500, NASDAQ 100 and 10-year Treasury futures. In addition, macro hedge funds sold U.S. dollars to flat for the first time since last August.

Data from the Commodity Futures Trading Commission shows large equities speculators partially covered the S&P 500, sold NASDAQ 100 and were flat the Russell 2000. The NASDAQ 100, says Bartels, is in a crowded net long

Large agricultural speculators bought soybean and sold corn while adding to their shorts in wheat. Metals speculators bought gold, silver, platinum and palladium while energy specs bought crude, heating oil and gasoline while adding to their natural gas shorts.

As for foreign exchange, Bartels says large speculators partially covered the euro, bought U.S. dollars and aggressively sold yen.

Speculators were aggressive in selling 2-year Treasuries, while adding to their shorts in 30- and 10-year Treasuries


In Depth

Kettera Q&A: The Advantages of Alternative Investment Platforms

Oct 28 2016 | 5:52pm ET

The past several years have seen a distinct push towards easier and cheaper access...

Lifestyle

Trump Attends 'Villains and Heroes' Costume Party Dressed As...Himself

Dec 5 2016 | 11:16pm ET

U.S. President-elect Donald Trump attended a "Villains and Heroes" costume party...

Guest Contributor

Nowhere to Hide: Why the Future of Asset Management Depends on Innovation

Nov 15 2016 | 6:55pm ET

Information technology has reshaped the asset management industry’s periphery,...

 

From the current issue of

Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

AVAILABLE NOW at BARNES & NOBLE

NEWSTAND LOCATOR