BofAML: Hedge Funds Trail S&P 500

Feb 24 2014 | 2:00pm ET

Hedge funds trailed the stock market in the week ended February 19: the Bank of America Merrill Lynch Diversified Investible Hedge Fund Composite Index added 0.51% to the S&P 500's 0.57% gain.

Event-driven funds were the best performers over the monitored period, adding 0.62%.

BofAML analyst MacNeil Curry said market neutral funds increased their market exposure from 3% to 9% net long while equity long/short funds increased their market exposure from 36% to 37% net long, in line with their 35-40% benchmark level.

Macros increased their long exposure to the S&P 500 and went from being short the NASDAQ to being long the tech index. They also went short U.S. dollars and slightly trimmed their U.S. 10-year Treasury shorts while slightly increasing their commodity long exposures and large-cap tilt. Overseas they maintained their short exposure to emerging markets and EAFE.

Commodity Futures Trading Commission data for the monitored period showed large equities speculators reduced their S&P 500 shorts, added to their NASDAQ longs and covered their Russell 2000 shorts.

Agriculture specs increased their soybean and corn longs while cutting their wheat shorts; metals speculators increased their gold, silver, platinum and palladium longs and cut their copper shorts.

Large energy specs increased their crude longs, marginally increased their natural gas shorts and covered their heating oil shorts. 

FX specs covered their euro shorts to a net long, reduced their Australian dollar shorts, sold yen and increased their British pound longs.

Interest rates specs cut their 10-year Treasury shorts, marginally increased their 30-year longs and sold 2-year contracts to a net short.


In Depth

Don’t Overlook These 6 Hybrid Cloud Concerns

Sep 14 2017 | 6:27pm ET

Cloud-based technology solutions have made tremendous inroads into the alternative...

Lifestyle

CFA Institute To Add Computer Science To Exam Curriculum

May 24 2017 | 9:25pm ET

Starting in 2019, financial industry executives sitting for the coveted Chartered...

Guest Contributor

Cash: An Asset In Adolescence

Aug 31 2017 | 3:34pm ET

If the investment industry has a rebellious teenager in the house today, that teenager...

 

From the current issue of