Tuesday, 27 January 2015
Last updated 2 hours ago
Oct 28 2013 | 11:20am ET
Hedge funds are up 1.09% month-to-date, according to the latest investable hedge fund composite index from Bank of America Merrill Lynch.
Equity long/short and CTAs were the best-performing strategies during the monitored period, adding 1.95% and 1.30%, respectively. Event-driven strategies turned in the worst results, but were still in the black, adding 0.22%.
BofAML analyst MacNeil Curry said market neutral funds maintained market exposure at 10% net long during the monitored period while equity long/short funds increased their market exposure from 29% to 30% net long, slightly below their 35-40% benchmark.
Macro funds increased their long S&P 500 exposure, maintained their long NASDAQ exposure, increased their U.S. dollar shorts and neutralized their 10-year Treasury longs. Macros also reduced their commodities exposure to a net short and reduced their short-cap tilt.
A look at Commodity Futures Trading Commission data (available in a timely manner once again with the end of the government shutdown) shows large speculators reduced their net S&P 500 and Russell 2000 longs while increasing their NASDAQ longs.
Large agriculture speculators sharply increased their long positions in soybeans while increasing their shorts in corn and wheat. Metals speculators bought silver, left their long gold positions almost unchanged, reduced their platinum and palladium longs and increased their copper shorts.
Energy specs bought WTI crude oil, heating oil and gasoline while increasing their natural gas shorts.
FX specs sold euros and Mexican pesos, reduced their British pound shorts and increased their yen and Australian dollar shorts. They also increased their U.S. dollar index and Mexican peso longs.
Interest rate specs increased their 30-year bond future shorts while reducing their 10-year note shorts and further reduced their 2-year note longs.
Jan 23 2015 | 1:00pm ET
In our new section, FINtech Focus, we will profile one of these firms each week. While fintech is a broad category, we will be focusing on firms that specifically cater to the alternative investment industry. Read more…