BofAML: Hedge Funds Trail S&P 500 In Feb

Mar 5 2012 | 11:47am ET

Hedge fund performance still trailed that of the S&P 500 in February, according to the latest Hedge Fund Monitor from Bank of America Merrill Lynch.

BofAML’s investable hedge fund composite index was up about 1.19% in February, while the S&P 500 was up 2.87%.

According to analyst Mary Ann Bartels, event driven and convertible arbitrage strategies were the best performers for the month, up 2.36% and 1.48%, respectively. The worst performing strategy for the month was equity market neutral, which lost 0.83%.

Bartels says BofAMLs models indicate that market neutral funds bought market exposure to 7% from 5% net long while equity long/short held steady market exposure at 21% net long. Macros, she says, bought the S&P 500 to flat, sold commodities, 10-year Treasury futures, EAFE and EM exposures. In addition, macro hedge funds bought the NASDAQ 100 to a net long for the first time since last August.

Bartels says data from the Commodity Futures Trading Commission shows that large speculators partially covered the S&P 500 and Russell 2000 in February and bought the NASDAQ 100 which ended the month in a crowded net long.

Large agricultural speculators bought soybean and corn, and partially covered their shorts in wheat while metals speculators bought gold, silver and copper, while holding steady platinum and palladium.

In the energy sector, large speculators bought crude, heating oil and gasoline, while holding natural gas steady; Forex speculators partially covered euro, while selling the U.S. dollar and the Japanese yen. Interest rate speculators sold 2-year Treasuries, partially covered 10-year Treasuries and held steady their shorts in 30-yr Treasuries.


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