Thursday, 25 December 2014
Last updated 15 hours ago
Jul 10 2012 | 9:51am ET
Hedge funds trailed the S&P 500 in the first half of 2012, according to the Bank of America Merrill Lynch Hedge Fund Monitor.
Analyst Mary Ann Bartels says the BofAML global diversified hedge fund composite index was up 1.26% in the first six months of 2012, while the S&P 500 added 8.31%.
The best-performing strategy was convertible arbitrage, up 4.14% in H1, whereas the worst performer was short bias, down 7.11%.
Bartels says market neutral funds bought market exposure to 3% net long from 1% net short, reversing their aggressive selling in June. Equity long/short funds maintained market exposure at 23% net long, well below the 35-40% benchmark level. Macros partially covered the S&P 500 and NASDAQ 100, added to their shorts in commodities and 10-year Treasuries, reduced EM and EAFE exposure and bought U.S. dollars to the longest in a year. In addition, says Bartels, macros switched to a large cap tilt for the first time since April.
Data from the Commodity Futures Trading Commission shows large speculators bought the NASDAQ 100, partially covered the Russell 2000 but added to their shorts in the S&P 500.
Agriculture speculators bought soybean, corn and wheat while metals speculators bought gold, silver and platinum; were flat palladium; and partially covered copper.
Energy speculators bought crude oil and gasoline, partially covered natural gas, but sold heating oil to a crowded short for the first time since October 2011. Foreign exchange specs sold U.S. dollars, were flat the yen and partially covered their shorts in the euro, says Bartels.
Interest rates speculators sold 30- and 10-year Treasuries while buying 2-year Treasuries.
Dec 1 2014 | 10:21am ET
As 2014 winds down, Northern Trust Hedge Fund Services executives took some time to share their outlook on trends facing the industry in 2015. Read more…
Jeff Sprecher was simply looking for a platform to trade energies when launching ICE 14 years ago but it has grown to reach the pinnacle of both the listed futures and equities world.