Tuesday, 27 January 2015
Last updated 5 hours ago
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.
Jan 23 2015 | 1:00pm ET
In our new section, FINtech Focus, we will profile one of these firms each week. While fintech is a broad category, we will be focusing on firms that specifically cater to the alternative investment industry. Read more…