Saturday, 28 November 2015
Last updated 9 hours ago
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
Oct 21 2015 | 10:41am ET
One of the most unique charity benefits in the hedge fund industry, A Leg To Stand On's (ALTSO's) Hedge Fund Rocktoberfest - NYC, raised nearly $500,000 last Thursday thanks to the generous support of major sponsors and nearly 1,400 attendees from the Tri-State finance, business and hedge fund communities. Read more…