Saturday, 1 October 2016
Last updated 17 hours ago
Nov 29 2012 | 8:58am ET
Hedge funds are down 0.16% month to date as of November 21, according to the Bank of America Merrill Lynch investable hedge fund composite index.
That was still a better performance than the S&P 500, which was down 1.50% over the same period.
Convertible arbitrage and merger arbitrage were the best-performing strategies, adding 0.54% and 0.38% month to date, respectively. CTAs turned in the worst performance, shedding 0.69%.
According to BofAML analyst Mary Ann Bartels, market neutral funds held market exposure steady at 3% net long over the monitored period while equity long/short funds aggressively bought market exposure to 29% from 24% net long (still below the 35-40% benchmark). Macros sold their long positions in the S&P 500, NASDAQ 100, commodities and 10-year Treasuries, while partially covering their shorts in the U.S. dollar, EM and EAFE.
Large equities speculators sold the S&P 500 and NASDAQ 100, and added to their shorts in the Russell 2000. Bartels notes that their NASDAQ 100 position has reached short levels not seen since August 2011.
Agriculture specs sold soybeans and wheat while buying corn. Metals speculators bought gold, silver and palladium, partially covered copper but sold platinum and energy speculators bought crude oil and gasoline, sold heating oil and added to their shorts in natural gas.
Large forex speculators added to their shorts in euro and yen and held the U.S. dollar steady. Interest rate specs aggressively bought 30-year and 2-year Treasuries and slightly bought 10-year Treasuries.