Thu, Sep 3, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Cash balances in margin accounts drop, triggering sell signals; leverage climbs higher

Wednesday, March 06, 2013

Bailey McCann, Opalesque New York: A sell signal was triggered on January NYSE Margin Debt Data, the actual balance was a negative $77.2m, according to new data from lead hedge fund analyst Mary Ann Bartels at Bank of America Merrill Lynch Global Research. Bartels notes that, "the last time a sell signal was generated was on April 2010 and the S&P 500 subsequently corrected by 16% in two months." Data also shows that hedge funds continue to underperform the equities market, February flash return was up 0.33% as of Feb 27, compared to a price return of 1.19% for the S&P 500.

Leverage, as measured by NYSE Margin Debt, rose 31.6% year-on-year (YOY) and 10.2% month-over-month (MOM) to $364bn in January, compared to the July 2007 peak of $381bn, data shows. The investable hedge fund composite index was up 0.33% for February as of February 27 2013, compared to a price return of 1.19% for the S&P 500. In terms of strategies, Convertible Arbitrage performed the best, up 1.23%. CTA Advisors performed the worst and were down 0.55% for the same period.

Funds sold NASDAQ 100 futures, were flat the S&P 500, and bought the Russell 2000. In commodities, funds bought soybean, sold corn, and added to their shorts in wheat. In currencies, funds sold Euro, bought USD, and are essentially flat the Yen.......................

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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  3. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner