Wednesday, 22 October 2014
Last updated 5 hours ago
Jan 21 2014 | 11:24am ET
Hedge funds have outperformed the S&P500 index month to date, according to the Bank of America Merrill Lynch Hedge Fund Monitor.
The BofAML hedge fund composite index is up 0.45% to date in January, versus a 0.07% gain for the stock index.
Event-driven and equity long/short funds were the best performers over the monitored period, adding 0.75% and 0.73%, respectively.
BofAML analyst MacNeil Curry says their models indicate market neutral funds decreased their market exposure to 11% net long from 15% net long while equity long/short funds left their exposure unchanged at 16% net long, well below their 35-40% benchmark.
Macro funds increased their long exposures to the S&P, the NASDAQ, the U.S. dollar, commodities and 10-year Treasuries while neutralizing their small-cap tilt in favor of large cap. Overseas, they increased their EM and EAFE short exposures.
Data from the Commodity Futures Trading Commission shows large equities speculators cut their net S&P 500 and NASDAQ longs but added to their Russell 2000 longs.
Agriculture specs increased their soybean longs while cutting their wheat and corn shorts.
Large metals specs increased their gold, platinum and palladium longs while maintaining their silver longs.
Energy specs cut their crude and gasoline longs, added to their heating oil shorts and trimmed their natural gas shorts.
FX specs trimmed their euro longs, bought yen futures, trimmed their Australian dollar shorts and reduced their long position in British pound futures.
Interest rates specs significantly cut their 10-year Treasury shorts, increased their 30-year longs and added to their 2-year shorts.
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…
Most traders agree that proper risk management is the key to successful trading. However, many traders depend on the deeply flawed measure of standard deviation as a benchmark of risk. Here we put it ...