Thursday, 24 July 2014
Last updated 1 hour ago
Jul 2 2012 | 11:40am ET
Hedge funds were down 1.38% in the second quarter of 2012 according to the Bank of America Merrill Lynch investable hedge fund composite index.
Hedge funds outperformed the S&P 500, which was down 5.44% quarter to date.
According to the latest BofAML Hedge Fund Monitor, CTA Advisors (up 0.99% QTD) and macro strategies (up 0.46% QTD) were the best performers in the second quarter and the only strategies to end in the black.
Market neutral (down 3.45%) and equity long/short (down 3.27%) turned in the worst performances of the quarter.
BofAML analyst Mary Ann Bartels says market neutral funds cut market exposure to 1% net short from 1% net long in Q2, while equity long/short sold market exposure further—from 26% to 23% net long. Macros added to their shorts in the S&P 500 and NASDAQ 100, partially covered commodities and10-year Treasuries, bought EM and EAFE to net longs, and maintained their long positions in the dollar. In addition, macros also reduced their small-cap tilt.
An examination of Commodity Futures Trading Commission data reveals that large equities speculators bought the NASDAQ 100, partially covered the S&P 500 and added to their shorts in the Russell 2000.
Agricultural speculators bought soybean, corn and wheat, leaving soybean in a crowded net long, and wheat approaching a crowded long. Metals speculators sold gold, silver, platinum and palladium, while adding to their shorts in copper. Large energy speculators sold crude oil, heating oil and gasoline, and added to their shorts in natural gas. Heating oil is approaching a crowded short.
Foreign exchange speculators sold the dollar and the yen while continuing to short the euro. Interest rate speculators sold 30- and 2-year Treasures while adding to their shorts in 10-year Treasuries.
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…