Friday, 30 January 2015
Last updated 9 hours ago
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.
Jan 23 2015 | 1:00pm ET
In our new section, FINtech Focus, we will profile one of these firms each week. While fintech is a broad category, we will be focusing on firms that specifically cater to the alternative investment industry. Read more…