Wednesday, 17 September 2014
Last updated 1 hour ago
May 13 2014 | 11:18am ET
Hedge funds have underperformed the S&P 500 year to date, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor.
The Diversified Investible Hedge Fund Composite Index was up 0.15% versus a 1.05% gain for the broader market index as of May 6.
Event-driven strategies were the best performers over the monitored period, adding 2.03%, while macro strategies were the worst, losing 2.07%.
BofAML analyst MacNeil Curry said their models showed market neutral funds increased their market exposure from 7% to 14% net long while equity long/short funds trimmed their exposure from 39% to 29% net long, below the 35-40% benchmark.
Macros reduced their long exposure to the S&P500 and NASDAQ, added to their short U.S. dollar exposure and reduced their long 10-year Treasury exposure. They also trimmed their long exposure to commodities and decreased their large-cap tilt. Overseas, they increased their long exposure to EM and EAFE.
According to Commodity Futures Trading Commission data, large equities speculators trimmed their S&P 500 positioning to a net short, reduced their NASDAQ longs and added to their Russell shorts.
Metals specs increased their gold longs and copper shorts while reducing their silver net long positions.
Large energy specs cut their crude and gasoline longs and increased their natural gas and heating oil shorts.
FX specs increased their euro net long position while cutting their yen shorts and Australian dollar and British pound longs.
Agriculture specs trimmed their soy and wheat longs while interest rate specs increased their 10-year Treasury shorts but cut their 2-year shorts and increased their 30-year longs.
Aug 25 2014 | 11:21am ET
As many of you know, FINalternatives was recently acquired by the owners of Futures magazine, a firm called The Alpha Pages LLC. Today marks the soft-launch of a new sister site for both publications. As its name suggests, The Alpha Pages will cover all types of alternative investments, going far beyond the more well-known ones such as hedge funds and private equity. Read more…
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