Wednesday, 22 October 2014
Last updated 7 hours ago
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.
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 ...