BofAML: Hedge Funds Trail S&P 500

Feb 24 2014 | 1:00pm 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

GSAM’s Papagiannis on Liquid Alternatives

May 25 2016 | 5:07pm ET

The popularity of liquid alternatives strategies has blossomed in recent years,...

Lifestyle

From Modern Trader: Stephen Curry is a Black Swan

May 18 2016 | 7:43pm ET

What do the rise of the Internet, the sinking of the Titanic, 9/11, and Stephen...

Guest Contributor

LendingClub and the Question of Internal Hedge Funds

May 19 2016 | 8:42pm ET

Peer-to-peer lending platform LendingClub Corp. has been in the news since the firm...