BofAML: Hedge Funds Lose 0.26% MTD, Trail S&P

Mar 17 2014 | 10:53am ET

Hedge funds were down 0.26% as of March 12, trailing the S&P 500 which was up 0.47%, according to the Bank of America Merrill Lynch diversified investible hedge fund composite index.

Convertible arbitrage were the best-performing strategies in the monitored period, adding 0.32%. CTAs performed worst, shedding 1.12%.

BofAL analyst MacNeil Curry said market neutral funds increased their market exposure to 26% net long from 11% net long in the monitored period while equity long/short funds left market exposure remained unchanged at 37% net long; in line with the 35-40% benchmark level.

Macros maintained their long exposure to the S&P 500, covered their short exposure to the NASDAQ and reduced their short exposures to the U.S. dollar and 10-year Treasuries. They reduced their short exposure to commodities and slightly increased their large-cap tilt. Overseas, they decreased their EM and EAFE short exposure.

Commodity Futures Trading Commission data showed large equities specs reduced their S&P 500 longs to a net short and trimmed their NASDAQ and Russell 2000 longs.

Large agriculture speculators trimmed their soybean longs while adding to their corn and wheat longs.

Metals specs increased their gold, platinum and palladium longs; marginally decreased their silver longs; and added to their copper shorts.

Energy specs cut their crude and heating oil longs and natural gas shorts.

Large FX specs increased their euro longs and yen shorts, reduced their British pound longs and maintained their Australian dollar shorts.

Interest rate specs increased their 10-year Treasury shorts and marginally decreased their 30- and 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