BofA Merrill Lynch Index Shows Hedge Funds Down 5% In 2011

Jan 18 2012 | 9:40am ET

In case you were in need of further evidence that 2011 was a bad one for hedge funds, Bank of America Merrill Lynch’s latest Hedge Fund Monitor provides it.

According to Mary Ann Bartels, head of U.S. technical analysis for BofAML, the Global Diversified Hedge Fund Index was down about 4.99% in 2011 and the investable HF index was down about 7.84% while the S&P 500 closed flat.

All strategies had a negative return for 2011. CTA advisors and merger arbitrage performed the best, according to Bartels, down about 0.38% and 2.55%, respectively; equity long/short and macro performed the worst, down an estimated 19.10% and 5.09%, respectively.

Bartels says BofA Merrill Lynch’s models show that market neutral funds bought market exposure to 7% net long at the end of December while equity long/short maintained market exposure at 25% and macros “added to their shorts in 10-year Treasuries, slightly bought USD, marginally covered NASDAQ 100, and held steady their S&P 500, commodities, EM and EAFE shorts.”

The monitor also highlights significant moves across asset classes based on data from the U.S. Commodity Futures Trading Commission. As of January 10, 2012, large speculators were buying soybeans and corn while holding steady their shorts in wheat. In metals, they were buying gold, silver and platinum; partially covering copper; and selling palladium. In energy, speculators were buying energy futures across the board—crude, heating oil, gasoline and natural gas. Crude oil is in a crowded long

As for foreign exchange, the monitor says large speculators added to Euro shorts (resulting in a record short position), aggressively bought Yen to a crowded long while slightly selling USD. The Euro remains in a crowded short and USD stays in a crowded long.


In Depth

Why Ponzi Schemes Work: An In-Depth Look At The Allen Stanford Fraud

Dec 21 2014 | 10:30am ET

Texan Allen Stanford first appeared on the radars of financial regulators in 1997...

Lifestyle

Hedgie Funds US Squash Program

Dec 24 2014 | 8:46am ET

Squash, anyone?

Guest Contributor

EidoSearch’s Top Three Market Projections For 2015

Dec 23 2014 | 4:03am ET

It is that time of year again when prognosticators make their big market calls for...

 

Sponsored Content

Editor's Note

    Guidelines for Guest Articles

    Oct 22 2014 | 9:46am ET

    We are always looking for guest articles from hedge fund managers and buy-side firms.

    If you are interested in submitting a contributed piece for possible publication on FINalternatives, please take a look at the specs. Read more…

 

Futures Magazine

December 2014 Cover

Futures 2014 person of the year

Jeff Sprecher was simply looking for a platform to trade energies when launching ICE 14 years ago but it has grown to reach the pinnacle of both the listed futures and equities world.

The Alpha Pages

TAP July/August 2014 Cover

The Alpha Pages Interview: Senator Rand Paul

Senator Paul sat down in the debut series of the Alpha Pages Interview to discuss the broken tax code, regulation surrounding Bitcoin, and his plans for the 2016 Presidential election.