Friday, 19 December 2014
Last updated 11 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.
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.