Hedge Funds Beat S&P 500

Mar 24 2014 | 2:02pm ET

Hedge funds were down the week to March 19, but not as far down as the S&P 500, according to the latest data from Bank of America Merrill Lynch.

After trailing the stock index for three weeks, the BofAML diversified investible hedge fund composite index beat it as of March 19, shedding 0.04% to the S&P's 0.40% on a price returns basis.

Convertible arbitrage strategies were the worst performers over the monitored period, losing 0.55%.

BofAML analyst MacNeil Curry said their models indicate market neutral funds trimmed their market exposure to 10% net long from 26% net long in the monitored period while equity long/short funds left their market exposure unchanged at 37% net long, in line with the 35-40% benchmark level.

Macro funds reduced their long exposure to the S&P 500, increased their long exposure to the NASDAQ, covered their U.S. dollar shorts to a hold long exposure and cut their short exposure to 10-year Treasuries. They maintained their short exposure to commodities, reduced their large-cap tilt and, overseas, covered their EM shorts and cut their EAFE shorts.

Commodity Futures Trading Commission data shows large equities speculators covered their S&P shorts and are now net long while increasing their NASDAQ and Russell 2000 longs.

Agriculture specs cut their soybean longs but increased their corn and wheat longs while metals specs  added to their gold longs while marginally decreasing their silver longs. They maintained their platinum and palladium longs but increased their copper shorts.

Large energy specs decreased their crude oil longs, are now short heating oil and also cut their natural gas shorts.

Large FX speculators increased their euro and British pound longs, cut their yen and Australian dollar shorts and covered their peso shorts.

Interest rate speculators trimmed their 10-year Treasury shorts sharply, increased their 30-year longs and reduced their 2-year longs.


In Depth

Dillon Eustace: The Advantages of ICAVs

Feb 11 2016 | 7:51pm ET

As the growth of alternative investment vehicles continues, global asset managers...

Lifestyle

Citadel's Ken Griffin Donates $40M To New York's Museum of Modern Art

Dec 22 2015 | 9:23pm ET

Citadel founder Ken Griffin has donated $40 million to New York’s Museum of Modern...

Guest Contributor

Hedging Against Reputational Risk in the 21st Century

Feb 12 2016 | 7:18pm ET

For investors, the first step in researching a new fund or manager is to google...