Friday, 1 August 2014
Last updated 12 hours ago
Aug 19 2013 | 7:57am ET
The Bank of America Merrill Lynch global diversified hedge fund composite index was up 0.93% for July, trailing the S&P 500 which added 4.95% on the month.
The best performing strategies in July were equity long/short and event-driven, up 2.14% and 1.63%, respectively. Short bias funds were the worst performers, losing 3.54%.
BofAML analyst MacNeil Curry said their models indicated that market neutral funds raised market exposure from 6% net long to 15% net long while equity long/short funds increased market exposure from 40% net long to 42% net long; slightly above their 35-40% benchmark level.
Macros maintained their long exposure to the S&P 500, slightly increased their NASDAQ 100 longs and aggressively reduced long positions in commodities, said Curry. In addition, they sold the U.S. dollar index and maintained their 10-year Treasury shorts. They also opted for small cap rather than neutral. Overseas, they reduced both EM and EAFE exposures.
Data from the Commodity Futures Trading Commission showed large equities speculators marginally increased their net longs in the S&P 500 and NASDAQ 100 and increased their Russell 2000 longs.
Large agriculture speculators were essentially unchanged across agriculture futures—including soybean, corn and wheat. Metals specs bought pretty much everything—gold, silver, platinum and palladium—while partially covering copper shorts.
Energy specs sold heating oil and gasoline while remaining essentially flat in WTI crude and natural gas.
FX specs aggressively bought the euro, sold the U.S. dollar index, partially covered their yen and AUD shorts and were essentially flat the British pound and Mexican peso. Interest rate specs sold 2-year notes, aggressively added to their 10-year Treasury shorts and partially covered their 30-year Treasury shorts.
Jul 8 2014 | 10:48am ET
The surge in derivatives regulation is among the most complex challenges facing the financial services industry today. Northern Trust’s Joshua Satten recently spoke with FINalternatives to share insights into the challenges presented by new regulation and explore how the industry is responding. Read more…