Event Driven, Equity Long/Short Strategies Perform Best YTD

Feb 6 2012 | 10:02am ET

Event driven and equity long/short were the best-performing hedge fund strategies as of February 1, helping the Bank of America Merrill Lynch investible hedge fund index rise 1.81% year to date.

Event driven funds added 3.28% in the monitored period and equity long/short were up 2.62% (compared to a 5.29% rise for the S&P 500). The worst performers, according to BofAML analyst Mary Ann Bartels, were macro funds, which added only 0.07%.

The latest BofAML Hedge Fund Monitor also looks at the HF Generals Index for Q4 2011. The index is an equal-weighted basket of 20 stocks in which hedge funds have a “high conviction,” as determined from 13F filings. In Q42011, the HF Generals Index was up 22.77%—handily outperforming the S&P 500, which rose 11.15% over the same period. The generals index outperformed the S&P 500 in January 2012 by 5.60% although it underperformed it by 0.48% for all of 2011.

Bartels says that as of the end of January, “this strategy has beaten the S&P 500 on average by 191bp per quarter over the last five years. The HF Generals, however, suffered steep losses in late 2008 and in August 2011.”

Bartels says market neutral funds held market exposure steady at 6% net long while equity long/short maintained market exposure at 26% net long. Macros “sold USD, slightly added to their shorts in EM, while partially covering the S&P 500, NASDAQ 100, commodities, EAFE and 10-year Treasury futures.”

Bartels also says that market neutral, long/short and macro strategies all preferred small cap.


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