Hedge Funds Add 1.09% MTD

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.

In Depth

Financial Industry Blockchain Consortium R3 To Open-Source Platform Code

Oct 20 2016 | 9:03pm ET

Bitcoin's blockchain technology has spawned a flurry of activity among fintech startups...


U.S. Trust's Beard: The Rapid Growth of the Art Lending Industry

Oct 7 2016 | 10:55pm ET

Alternative investment managers have emerged as some of the most significant art...

Guest Contributor

Hedge Fund Marketing – Tips for Your Initial Sales Meeting

Sep 29 2016 | 5:46pm ET

There are two main goals a hedge fund should have for an initial in-person sales...