Sat, Aug 20, 2022
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Hedge funds get into 30-yr treasuries

Wednesday, May 30, 2012

Bailey McCann, Opalesque New York: Hedge funds are aggressively buying 30-yr T-bonds futures by ~500% to $7.2bn notional up from $1.2bn notional last week according to a new report from BofA Merrill Lynch Global Research. Funds are favoring longer duration treasuries opting to cover their shorts in 10-yrs and sell out of 2-yrs, according to Mary Ann Bartels, lead hedge fund analyst at BofA Merrill Lynch.

Long/Short hedge funds switched to growth and small cap tilt from neutral, while neutralizing quality preference. It’s the first time that Long/Short funds have favored small cap since February. They also sold NASDAQ 100 exposure to a slight net short. The investable hedge fund composite index was down 1.34% month-to-date (MTD) as of May 23, compared to down 5.65% for the S&P 500.

In terms of strategy performance, CTAs saw a slight recovery up +0.77%, CTAs are the only strategy with positive return MTD. Long/Short performed the worst, down -3.17%. Equity Long/Short bought market exposure to 35%, back to the 35-40% benchmark level, from 30% net long. Macros bought the S&P 500 and NASDAQ 100, partially covered their shorts in USD, held commodities steady, and sold the 10-year Treasuries to a net short for the first time since March.

......................

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: Hong Kong manager expects additional tailwind in Asian markets[more]

    B. G., Opalesque Geneva: The Asia equity markets have not been at their best so far this year, with the MSCI Asia index down almost 13% YTD, but many managers remain buoyant about the region, as in

  2. Opalesque Exclusive: Emerging markets persist despite headwinds[more]

    Bailey McCann, Opalesque New York: Emerging markets have been under significant pressure since the start of the year, but there are some nascent trends that suggest that things could be getting better. Emerging markets firm Gramercy Fund Management recently released its third quarter outlook and

  3. Opalesque Exclusive: Castle Hall's DiligenceExchange free Transparency Reports cover 100 managers with $10tn of assets[more]

    Matthias Knab, Opalesque for New Managers: Managers and investors can get free access to DiligenceExchange here: https://bit.ly/DXCInfo Castle Hall, the Du

  4. Other Voices: ESG exuberance is at all-time highs. But will investors buy?[more]

    As investors increase their focus on mission-based investing, they continue to grapple with ESG and what it means to them. By David Shalom, Director of Capital Introductions at Pershing Innovation. New investment solutions. That's how managers deliver value and attract new inve

  5. Opalesque Exclusive: This European mezzanine debt strategy offers equity-like returns with downside protection[more]

    B. G., Opalesque Geneva for New Managers: Mezzanine financier SIG-i operates in a relatively uncrowded space by proactively manufacturing financing solutions as an alternative to traditional debt and equity instrume