Saturday, 25 October 2014
Last updated 1 day ago
Dec 3 2013 | 12:23pm ET
The Bank of America Merrill Lynch investable hedge fund composite index squeaked up 0.3% for November, underperforming the S&P 500.
Equity market neutral and long/short funds were the best performers last month, adding 0.90% and 0.73%, respectively. Convertible arbitrage strategies performed worst, shedding 1.11%.
According to BofAML analyst MacNeil Curry, market neutral funds reduced their market exposure to 7% net short from 3% net short over the monitored period while equity long/short funds increased their market exposure to 18% from 10% net long; below their 35-40% benchmark.
Macros reduced their S&P500 long exposur while maintaining their NASDAQ long exposure. They maintained their U.S. dollar short exposure while increasing their short exposure to 10-year Treasuries. In addition, they increased commodity exposure and reduced their preference for small cap. Overseas, macros maintained their long EM exposure.
Data from the Commodity Futures Trading Commission shows large equities speculators increased their net S&P 500 longs and their NASDAQ exposure while cutting their Russell 2000 shorts.
Agriculture specs increased their soy longs and their corn and wheat shorts while metals specs reduced their gold and silver longs, increased their copper shorts and reduced their long exposures to palladium and platinum.
Energy specs trimmed their crude longs slightly while increasing their RBOB longs and their natural gas shorts.
Large foreign exchange speculators reduced their euro longs, increased their yen shorts, cut their British pound shorts and maintained a small long position in Mexican pesos.
Interest rate specs reduced their 10-yr Treasury shorts while increasing their 30- and 2-year longs.
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
David and James Hamman launched their fundamental Livestock and Grains Program in March of 2010 but it really was decades in the making.