Mon, Apr 24, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Hedge funds beat the S & P in second quarter

Monday, July 02, 2012
Opalesque Industry Update - Bank of America Merrill Lynch’s Hedge Fund Monitor reports that the investable hedge fund composite index was down 1.38% quarter-to-date (QTD) as of June 27, compared to down 5.44% for the S&P 500. All seven strategies outperformed the S&P 500. CTA Advisors and Macro performed the best and were the only strategies with positive returns, up 0.99% and 0.46%, respectively. Market Neutral and Equity Long/Short performed the worst, down 3.45% and 3.27%, respectively.

Our models indicate that Market Neutral funds continued to cut market exposure to 1% net short from 1% net long. Equity Long/Short sold market exposure further to 23% from 26% net long. Macros added to their shorts in the S&P 500 & NASDAQ 100, partially covered commodities &10-year Treasuries, bought EM & EAFE to net longs, and maintained their long positions in USD. In addition, macros reduced small cap tilt.

Significant HF moves across asset classes based on CFTC data.

Equities. Large specs bought the NASDAQ 100, partially covered the S&P 500 and added to their shorts in the Russell 2000. Readings are neutral.
Agriculture. Large specs bought soybean, corn and wheat. Soybean stays in a crowded net long, wheat is approaching a crowded long.
Metals. Large specs sold gold, silver, platinum and palladium, while adding to their shorts in copper. Readings are neutral.
Energy. Large specs sold crude oil, heating oil & gasoline, and added to their shorts in natural gas. Heating Oil is approaching a crowded short.
Forex. Large specs sold USD & Yen, while adding to their shorts in Euro. Euro remains in a crowded short; USD is in a crowded long.
Interest Rates. Large specs sold 30-yr and 2-yr Ts, while adding to their shorts in 10-yr Ts. 30-yr Treasuries stay in a crowded net long

Press release

bc

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
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: Carden Capital bets on volatility[more]

    Bailey McCann, Opalesque New York for New Managers: Machine driven strategies are having a bit of a moment in the hedge fund world right now. Systematic funds have outperformed other strategies at a time when all ey

  2. Sprott AM to sell Canadian diversified fund business to management-led group[more]

    Komfie Manalo, Opalesque Asia: Toronto-based asset management company Sprott Asset Management LP (SAM) has entered into an agreement to sell its Canadian diversified fund business to a management-led group. Under the deal, the new group will have

  3. Investing - These hedge funds (and Madeleine Albright) are betting on a debt crisis, Hedge funds are upping their bets on the death of the traditional retailer, $20bn hedge fund recaps Corizon[more]

    These hedge funds (and Madeleine Albright) are betting on a debt crisis From Yahoo.com: There could be a big debt crisis brewing in places like China, India, Latin America and Africa -- and a growing number of investors are amassing war chests to cash in on the distress. Albright Capital

  4. Universities looking to defend endowments from Republican tax plan[more]

    From PIOnline.com: Some of the richest U.S. colleges are pushing back against scrutiny by Congress over the tax-exempt status of university endowments. Lobbying disclosure forms show almost two dozen schools such as Princeton University, University of Notre Dame and Cornell University are including

  5. Activist News - GAM touts 'tangible results' of turnaround as activist fight hots up, Bill Ackman not done with Herbalife, says his fight could get legs in May, Activist hedge fund CIAM says Euro Disney's buyout offer not fair for minority investors[more]

    GAM touts 'tangible results' of turnaround as activist fight hots up From FNLondon.com: GAM, the Swiss asset manager at the center of an attempted boardroom putsch by activist hedge fund RBR Capital, said its first-quarter results amounted to "tangible" proof that its management's plan f