Thursday, 18 September 2014
Last updated 5 hours ago
Sep 30 2013 | 1:00pm ET
Hedge funds returns were up 1.2% in Q3 2013, trailing the S&P 500 which added 4.8% over the same period, according to the Bank of America Merrill Lynch investable hedge fund composite index.
Event-driven and merger arbitrage were the best-performing strategies in the third quarter, adding 3.22% and 2.21%, respectively. Macro funds performed worst, shedding 2.28%.
BofAML analyst MacNeil Curry said market neutral funds maintained market exposure of 2% net long while equity long/short funds reduced market exposure from 38% to 42% net long, in line with their 35-40% benchmark.
Macro funds reduced their long exposure to the S&P 500 and the NASDAQ; reduced their long commodities positions; increased their U.S. dollar index longs; and neutralized their 10-year Treasury shorts, becoming net long for the first time since July.
They continued to reduce their small-cap preference and, overseas, increased their EM exposure to its highest level since June and became EAFE short.
Data from the Commodity Futures Trading Commission showed large equities speculators increased their net longs in the S&P 500 and the NASDAQ and reduced their Russell 2000 shorts.
Agriculture specs sharply increased their long Soybean positions and their corn and wheat shorts while metals specs bought gold while leaving their long silver, platinum and palladium positions almost unchanged and reducing their copper shorts.
Large energy speculators reduced their WTI crude oil longs and their natural gas shorts.
FX specs bought the euro, neutralized their British pound and Mexican peso shorts, increased their yen and Australian dollar shorts, and reduced their dollar index longs.
Interest specs reduced their long 30-year bond futures and and their 10-year note shorts while further reducing their 2-year notes shorts.
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…
Credit default swaps brought down the London Whale and cost JPMorgan $6.2 billion. Here is how it happened.