Friday, 25 July 2014
Last updated 22 min ago
Jul 17 2012 | 12:21pm ET
Hedge funds were up 0.29% last week, according to the Bank of America Merrill Lynch investable composite index.
Hedge funds trailed the S&P 500, which had added 2.37% as of July 11. CTA advisors (up 1.88%) and macros (up 1.23%) were the best performing strategies in the monitored period while equity long/short (down 0.54%) was the worst.
BofAML analyst Mary Ann Bartels says market neutral funds bought market exposure to 4% from 3% net long while equity long/short maintained market exposure at 23% net long, well below the 35-40% benchmark level.
Macros added to their shorts in the S&P 500 and NASDAQ 100, partially covered commodities and 10-year Treasuries, neutralized EM exposure, while selling U.S. dollars and EAFE, says Bartels. In addition, macros maintained their large-cap preference.
Data from the Commodity Futures Trading Commission shows large speculators partially covered the Russell 2000, sold the NASDAQ 100 and added to their shorts in the S&P 500.
Agricultural speculators bought soybeans, corn and wheat; metals speculators sold gold, silver and platinum; energy speculators (marginally) bought crude oil and gasoline; and forex specs bought U.S. dollars and yen while adding to their euro shorts. Interest rate speculators bought 30- and 2-year Treasuries while covering 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…