Hedge Funds Up 0.94% In May

Jun 3 2013 | 11:52am ET

Hedge funds were up 0.94% for the month, as of May 29, according to the investable hedge fund composite index in the latest Bank of America Merrill Lynch Hedge Fund Monitor.

Convertible arbitrage and event driven funds were the best performers, adding 3.54% and 2.09%, respectively. Macro funds were the worst, shedding 0.75%, which BofAML analyst Stephen Suttmeier says is no surprise, given their recent net short positions in US equities.

Hedge funds continue to trail the S&P, which was up 3.18% over the monitored period.

Suttmeier says macro funds bought risk assets including the S&P 500, NASDAQ 100 and commodities to a net long, and increased EM exposure to the highest level since October 2011. They also bought the US dollar index and T-notes to a net long. Meanwhile, Macros bought EM exposure to the highest since October 2011, while maintaining their net long positions in EAFE.

Commodity Futures Trading Commission data shows large hedge fund equities speculators bought the S&P 500, NASDAQ 100 and Russell 2000 while agriculture speculators bought soybean and corn, and reduced their wheat shorts.

Metals specs sold gold, silver and platinum but were flat palladium copper. Energy specs sold crude oil and gasoline while partially covering their shorts in heating oil and natural gas.
 
FX speculators remained net long the US dollar while adding to their euro and yen short. Interest rate specs sold Treasuries across the board, leaving them net short 30-, 10- and 2-year T-bills.


In Depth

Will Liquid Alts’ Performance Sustain Future Asset Flows?

Aug 25 2014 | 10:34am ET

Liquid alternative investment funds saw the highest percentage of capital inflows...

Lifestyle

Och Funds Women In Finance Initiative At U-M

Aug 28 2014 | 3:01pm ET

Och-Ziff Capital founder Daniel Och and his wife have made a "generous donation"...

Guest Contributor

Looking Ahead: What’s In Store For Managed Futures?

Aug 22 2014 | 12:52pm ET

The last five years were phenomenal for investors in equity indices. Will the next...

 

Editor's Note

    Get A Sneak Peak Of The Alpha Pages

    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…

 

Futures Magazine

July/August 2014 Cover

The time was right

Commodities/Futures magazine launched at the precipice of a revolution in the futures industry—really a revolution in the idea of risk management—that would move it from a small niche industry to ...

The Alpha Pages

TAP July/August 2014 Cover

The Alpha Pages Interview: Senator Rand Paul

Senator Paul sat down in the debut series of the Alpha Pages Interview to discuss the broken tax code, regulation surrounding Bitcoin, and his plans for the 2016 Presidential election.