Wed, Aug 24, 2016
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. LatAm hedge funds surge in 1H to +24.4%, emerging markets assets rise[more]

    Komfie Manalo, Opalesque Asia: Hedge funds investing in Latin America posted strong gains through mid-2016, reversing declines in four of the past five years, including the last three years, to lead all areas of hedge fund performance through the first half of 2016, according to the latest HFR Em

  2. Asia - LGT Capital Partners: Alternatives set for continued rise in Asia[more]

    From Asianinvestor.net: More flows are likely into insurance-linked strategies, private equity and trend-following strategies/CTAs, given the benefits of such investments, argues LGT Capital Partners. Despite the numerous quantitative easing programs and bailouts of recent years, the quest for

  3. Investors yank money from hedge funds after poor performance[more]

    From Marketwatch.com: A growing exodus from hedge funds extended to two of the biggest names in the industry Tuesday, Tudor Investment Corp. and Brevan Howard, as disenchanted investors increasingly shun what was once the hottest place to put money. The funds’ problem is clear: They just aren’t perf

  4. Banks look at hedge funds differently - and it should matter to allocators[more]

    From Valuewalk.com: Looking at two bank reports on the same topic can often yield interesting results. There are times when bank research is best viewed from the standpoint of how their analysis does or does not correlate with one another. Regarding hedge fund allocation decisions, one bank appears

  5. Legal - Hedge fund’s fixer kept deals flowing with bribes, U.S. says, Big four banks sued by U.S. hedge funds over BBSW, Lessons for hedge fund managers from the government's failed prosecution of alleged insider trading[more]

    Hedge fund’s fixer kept deals flowing with bribes, U.S. says From Bloomberg.com: With the Miami villa, stopovers at New York’s Plaza Hotel and millions channeled in bribes to win mining deals, Samuel Mebiame was the relationships guy in a corruption scheme that spanned continents, accord