Hedge Funds Shed 0.54% MTD, Beat S&P

Dec 16 2013 | 1:19pm ET

Hedge funds are down 0.54% month-to-date, according to the Bank of America Merrill Lynch investable hedge fund index, but the good news is they still outperformed the S&P 500, which is down 1.24%.

Equity market neutral funds performed best, adding 0.25% MTD, while CTA advisors, down 1.63%, performed the worst.

BofAML analyst MacNeil Curry says market neutral funds' market exposure remains unchanged at 1% net long while equity long/short funds increased their market exposure to 38% from 28% net long; in line with their 35-40% benchmark.

Macros funds increased their long exposure to the S&P 500 and the NASDAQ and to the U.S. dollar while reducing their short 10-year Treasury exposure and slightly increasing their long exposure to commodities. Macros also increased their small cap tilt and, overseas, reduced their long exposure to EM.  

Commodity Futures Trading Commission data shows large equities speculators increased their net S&P 500 longs but reduced their net NASDAQ and Russell 2000 longs.

Agriculture specs increased their long soybean positions and their wheat shorts but reduced their corn shorts. Metals specs increased their gold and silver longs, reduced their copper shorts and maintained their palladium and platinum longs.

Large energy specs increased crude longs and natural gas shorts but reduced heating oil shorts.

FX specs reduced their yen shorts and increased their euro longs while also increasing their Australian dollar shorts.

Interest rates  specs reduced their 10-year Treasury shorts, neutralized their 30-year longs and increased their 2-year longs.


In Depth

Kettera Q&A: The Advantages of Alternative Investment Platforms

Oct 28 2016 | 5:52pm ET

The past several years have seen a distinct push towards easier and cheaper access...

Lifestyle

Midtown's Plaza District Fades As Manhattan Office Landscape Shifts

Nov 22 2016 | 6:32pm ET

Lower leasing costs, more efficient office space and the hope of projecting an image...

Guest Contributor

Nowhere to Hide: Why the Future of Asset Management Depends on Innovation

Nov 15 2016 | 6:55pm ET

Information technology has reshaped the asset management industry’s periphery,...

 

From the current issue of

Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

AVAILABLE NOW at BARNES & NOBLE

NEWSTAND LOCATOR