Monday, 28 July 2014
Last updated 1 hour ago
Apr 14 2014 | 4:01pm ET
Hedge funds outperformed the S&P 500 during the first week of Q2, according to new data from the Bank of America Merrill Lynch.
The BofAML Diversified Investible Hedge Fund Composite Index shed 0.59% over the monitored period but the stock index slid even further—losing 0.69%.
After trailing other strategies for weeks, CTA advisors were the best performers over the week, adding 0.69%, while equity long/short funds were the worst, shedding 1.23%.
BofAML analyst MacNeil Curry said their models show market neutral funds trimmed market exposure to 5% net long from 7% net long during the first week of Q2 while equity long/short funds increased their market exposure to 40% net long from 38% net long, in line with the 35-40% benchmark.
Macro funds marginally decreased their long exposure to the S&P 500 but increased their long exposure to the NASDAQ. They maintained their U.S. dollar longs, added to their 10-year Treasury longs, increased their long exposure to commodities and marginally reduced their short-cap tilt. Overseas, they decreased their long exposure to EM but increased their EAFE shorts.
According to Commodity Futures Trading Commission data, large equities speculators trimmed their S&P 500 and NASDAQ longs while adding to their Russell 2000 shorts.
Agriculture specs cut their soybean and wheat longs but added to their corn longs.
Metals specs decreased their gold longs, added to their silver and platinum longs, maintained their palladium longs and trimmed their copper shorts.
Energy specs increased their crude longs and natural gas shorts, doubled their heating oil shorts and cut their gasoline shorts.
FX specs reduced their euro longs, added to their British pound longs and their yen shorts, and covered their Australian dollar shorts.
Interest rate speculators increased their 2-year and 10-year shorts while adding to their 30-year Treasury longs.
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…