Thu, Sep 29, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Hedge funds get into 30-yr treasuries

Wednesday, May 30, 2012

Bailey McCann, Opalesque New York: Hedge funds are aggressively buying 30-yr T-bonds futures by ~500% to $7.2bn notional up from $1.2bn notional last week according to a new report from BofA Merrill Lynch Global Research. Funds are favoring longer duration treasuries opting to cover their shorts in 10-yrs and sell out of 2-yrs, according to Mary Ann Bartels, lead hedge fund analyst at BofA Merrill Lynch.

Long/Short hedge funds switched to growth and small cap tilt from neutral, while neutralizing quality preference. It’s the first time that Long/Short funds have favored small cap since February. They also sold NASDAQ 100 exposure to a slight net short. The investable hedge fund composite index was down 1.34% month-to-date (MTD) as of May 23, compared to down 5.65% for the S&P 500.

In terms of strategy performance, CTAs saw a slight recovery up +0.77%, CTAs are the only strategy with positive return MTD. Long/Short performed the worst, down -3.17%. Equity Long/Short bought market exposure to 35%, back to the 35-40% benchmark level, from 30% net long. Macros bought the S&P 500 and NASDAQ 100, partially covered their shorts in USD, held commodities steady, and sold the 10-year Treasuries to a net short for the first time since March.

......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Studies - Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements, Cambridge: Look to private investments for best access to LatAm growth[more]

    Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements A new study of the hedge fund space by industry law firm Seward & Kissel LLP reveals a wealth of information regarding established hedge fund managers’ use of side letters—special agreements

  2. Activist News - Caesars 'optimistic' on deal with hedge fund creditors[more]

    From Reuters.com: Caesars Entertainment Corp said on Monday it remains "optimistic" of reaching a $5 billion deal with the bulk of its creditors to push its main operating unit out of bankruptcy, but one hedge fund bondholder said it will pursue litigation. Caesars offered a sweetened $5 billion set

  3. Hedge funds recover from losses as central banks give markets a respite[more]

    Komfie Manalo, Opalesque Asia: The Lyxor Hedge Fund index was up 0.4% from the week ending September 20 (-2.4% YTD), supported by the willingness of central banks to remain accommodative, Lyxor Asset Management said in its weekly briefing. It ad

  4. Perry Capital closing flagship fund after almost three decades[more]

    From Blooomberg.com: Richard Perry, one of the biggest names in hedge funds, is calling it quits after 28 years. Perry, 61, is winding down his New York-based flagship fund as the industry confronts one of the most tumultuous periods in its history. In a letter to investors Monday, he said his style

  5. Eden Rock buys Gottex stake in ERG Asset Management[more]

    Matthias Knab, Opalesque: Eden Rock Group announced the purchase of Gottex’s stake in ERG Asset Management and so the firm is now wholly owned by Eden Rock. The two firms established the joint venture in 2011 to focus on providing cost effective solutions to funds holding illiquid investments, as