Hedge Funds Beat S&P 500 During 1st Week Of Nov.

Nov 14 2012 | 8:30am ET

Hedge funds outperformed the stock market in the first week of November, with the Bank of America Merrill Lynch investable hedge fund composite index adding 0.10% compared to a 1.25% drop for the S&P 500.

CTAs and convertible arbitrage were the best performing strategies last week, up 0.80% and 0.54%, respectively. The worst performing strategy was market neutral, down 0.27%.

According to BofAML analyst Mary Ann Bartels, market neutral funds sold market exposure to 1% from 6% net long. Equity long/short also held market exposure steady at 24% net long and remain below the 35-40% benchmark. Macros bought the S&P 500, NASDAQ 100, commodities and 10-year Treasuries, adding to their shorts in emerging markets and U.S. Dollars while aggressively selling EAFE exposure to a net short for the first time since August 2012.

Bartels says they believe asset flows may be influencing hedge fund positioning, with market exposure highly correlated to total asset changes for long/short hedge funds and it is therefore important for hedge funds to maintain positive asset inflows to be able to raise their market exposure going into year-end.
 
An examination of Commodity Futures Trading Commission data shows that equities speculators bought the S&P 500, sold the NASDAQ 100 and partially covered Russell 2000 futures.
 
Large agriculture speculators sold soybeans, bought wheat and were essentially flat corn while metals speculators sold gold, silver and platinum; were flat copper; and bought palladium.

Energy speculators bought crude, sold heating oil and gasoline, and added to their shorts in natural gas as forex speculators added to their shorts in euro and yen and aggressively bought dollars to a net long. Interest rate speculators, meanwhile, bought 2-year Treasury futures, sold 10-years and added to their shorts in 30-years.


In Depth

Kettera Q&A: The Advantages of Alternative Investment Platforms

Oct 28 2016 | 5:52pm ET

The past several years have seen a distinct push towards easier and cheaper access...

Lifestyle

Midtown's Plaza District Fades As Manhattan Office Landscape Shifts

Nov 22 2016 | 6:32pm ET

Lower leasing costs, more efficient office space and the hope of projecting an image...

Guest Contributor

Nowhere to Hide: Why the Future of Asset Management Depends on Innovation

Nov 15 2016 | 6:55pm ET

Information technology has reshaped the asset management industry’s periphery,...

 

From the current issue of

Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

AVAILABLE NOW at BARNES & NOBLE

NEWSTAND LOCATOR