Monday, 22 December 2014
Last updated 1 hour ago
Sep 9 2013 | 8:36am ET
Bank of America Merrill Lynch's investable hedge fund composite index was up 0.33% for the first week of September, compared to a 1.7% gain for the S&P 500.
Equity long/short and event-driven were the best-performing strategies, up 0.52% and 0.45%, respectively. Convertible arbitrage strategies were the worst performers, shedding 0.36%.
According to BofAML analyst MacNeil Curry, market neutral funds increased their market exposure to 19% net long from 12% net long while equity long/short also increased market exposure to 35% from 30% net long; in line with the 35-40% benchmark level.
Macros reduced their long exposures to the S&P 500 and NASDAQ while going slightly long commodities. In addition, they bought the US dollar index and maintained their shorts in 10-year Treasuries. Curry said they also reduced their large-cap preference and, overseas, increased their EM exposure to net long while maintaining their EAFE shorts.
Commodity Futures Trading Commission data shows large equities speculators reduced their net longs in the S&P 500 and Russell 2000 but increased their NASDAQ longs.
Large agriculture specs sharply increased their long positions in soybeans and increased their shorts in corn and wheat while metals specs bought silver, maintained their long gold positions almost unchanged, reduced their platinum and palladium longs and increased their copper shorts.
Energy speculators bought WTI crude oil and heating oil, left their gasoline positions unchanged and increased their natural gas shorts.
FX specs reduced their euro longs and moved to flat from long Mexican pesos. They increased their US dollar index longs, reduced their British pound shorts, maintained their yen shorts and increased their Australian dollar shorts.
Interest rate speculators increased their 30-year bond futures shorts, reduced their 10-year note shorts and further reduced their 2-year note longs.
Dec 1 2014 | 10:21am ET
As 2014 winds down, Northern Trust Hedge Fund Services executives took some time to share their outlook on trends facing the industry in 2015. Read more…
Jeff Sprecher was simply looking for a platform to trade energies when launching ICE 14 years ago but it has grown to reach the pinnacle of both the listed futures and equities world.