Wednesday, 23 July 2014
Last updated 3 hours ago
Mar 3 2014 | 12:36pm ET
After beating the S&P 500 in January, hedge funds trailed the stock index in February.
The Bank of America Merrill Lynch Diversified Investible Hedge Fund Composite Index was up 1.27% as of February 26 versus a 3.75% gain by the S&P 500.
Equity long/short were the best-performing strategies last month, adding 2.05%, while macro were the worst, shedding 0.75%.
BofAML analyst MacNeil Curry said market neutral funds increased market exposure from 9% net long to 11% net long over the monitored period while equity long/short funds cut their market exposure from 37% net long to 27% net long, below their 35-40% benchmark.
Macro funds reduced their S&P 500 longs and are now short the NASDAQ. They maintained their short exposure to the U.S. dollar, increased their 10-year Treasury shorts, cut their long exposure to commodities and increased their large-cap tilt. Overseas, said Curry, they increased their EM and EAFE short exposures.
Commodity Futures Trading Commission data shows large equities speculators reduced their S&P 500 shorts, increased their NASDAQ longs and covered their Russell 2000 shorts over the monitored period.
Agriculture specs increased their soybean, corn and wheat longs while metals specs increased their gold, silver and platinum longs while cutting their copper shorts.
Large energy speculators cut their crude longs, marginally trimmed their natural gas shorts and added to their heating oil longs.
FX specs increased their euro longs, cut their Australian dollar shorts, sold yen and added to their British pound longs. Interest rate specs sharply cut their 10-year Treasury shorts, marginally cut their 30-year longs and bought 2-year contracts to a net long.
Jul 8 2014 | 10:48am ET
The surge in derivatives regulation is among the most complex challenges facing the financial services industry today. Northern Trust’s Joshua Satten recently spoke with FINalternatives to share insights into the challenges presented by new regulation and explore how the industry is responding. Read more…