Sat, Jul 4, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Hedge funds down 0.22% after rocky October, continue equities sell off - BAML

Tuesday, October 30, 2012

Bailey McCann, Opalesque New York: Early October data from Bank of America Merrill Lynch shows that hedge funds are down slightly for October and are continuing their heavy sell off of US equities. According to data in the report, COT Eurodollar positioning is an unexpected leading indicator for the equity market - leading the S&P 500 by one year with a correlation of 72% since the beginning of 2000 and 74% since 2007. The indicator peaked in late November last year – a risk that the S&P 500 could face the start of a correction near year-end of 2012.

The investable hedge fund composite index was down 0.45% month-to-date as of October 24, outperforming the S&P 500’s -2.22%. In terms of strategies, Long/Short was the best performer, up 0.28%; CTA Advisors performed the worst and was down 3.28%. Long/Short Equity is selling out of the NASDAQ 100 and relaxing its quality tilt focusing more strongly on value as funds hunt for returns. By way of contrast, Macros added to their risk assets buying S&P 500, NASDAQ 100, commodities and 10-year Treasuries, while adding to their shorts in the USD.

Commodities continue to see inflows with funds buying soybean, corn and wheat, although they are selling metals gold, silver and copper. Commodities buyers are also selling out of crude and heating oil, and main......................

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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner