Friday, 19 September 2014
Last updated 6 hours 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.
Aug 25 2014 | 11:21am ET
As many of you know, FINalternatives was recently acquired by the owners of Futures magazine, a firm called The Alpha Pages LLC. Today marks the soft-launch of a new sister site for both publications. As its name suggests, The Alpha Pages will cover all types of alternative investments, going far beyond the more well-known ones such as hedge funds and private equity. Read more…
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