Monday, 20 October 2014
Last updated 3 days 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.
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…
Sep 30 2014 | 9:29am ET
The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. 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 ...