Fri, Dec 26, 2014
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. Hong Kong-Shanghai stock link fails to live up to expectation so far[more]

    Komfie Manalo, Opalesque Asia: In a report, Reuters said that demand has been subdued with the bulk of activities coming from short-term speculative investors. Las

  2. Investing - Hedge funds get boost from healthcare in 2014, Paulson & Co takes stake in Salix on heels of inventory issues[more]

    Hedge funds get boost from healthcare in 2014 From Valuewalk.com: The healthcare sector started the year on a turbulent note, as stocks of many major biotechnology companies were battered. However, most of the players in this sector have bounced back. The BarclayHedge Healthcare & Biotec

  3. North America - Why Steve Cohen, Connecticut hedge fund billionaire, gives so much in New York[more]

    From Insidephilantrophy.com: Billionaire Steve Cohen was born in Great Neck, New York before attending Wharton, working on Wall Street and then founding SAC Capital Advisors in Connecticut. Though his company (Point72) and foundation are based in Connecticut, Cohen and Alexandra are deeply connected

  4. Investing - Soros buys a highly speculative biotech in the third quarter[more]

    From Fool.com: …The Soros Fund bought 25,000 shares of the struggling small-cap biopharma Aegerion Pharmaceuticals in the third quarter. For those of you who haven't heard of this name, suffice to say that this was a surprising buy in light of the company's recent problems and poor outlook going for

  5. CFTC Revokes Registrations of Illinois Resident Aleks A. Kins and Chicago-based AlphaMetrix, LLC[more]

    Matthias Knab, Opalesque: The U.S. Commodity Futures Trading Commission (CFTC) today announced that it has revoked the registration of Aleks A. Kins of Chicago, Illinois, as an Associated Person and the registrations of AlphaMetrix, LLC (AlphaMetrix), a Delaware limited liability company with its