BofAML Says Hedge Funds Up 2.39% In Q1

Apr 2 2012 | 12:34pm ET

Hedge funds were up 2.39% quarter-to-date as of March 28, according to the most recent Bank of America Merrill Lynch Hedge Fund Monitor.

The investable hedge fund composite index underperformed the S&P 500 which was up 11.76% in Q1 2012. Event driven and equity long/short were the best performers for the quarter, up 5.76% and 3.94%, respectively. Market neutral performed the worst, losing 1.42%.

Breaking the performance down by major strategies, BofAML analyst Mary Ann Bartels says their models indicate that market neutral funds held market exposure steady at neutral. Equity long/short maintained market exposure at 31% net long. Macros bought the S&P 500, NASDAQ 100, 10-year Treasuries and commodities, while selling U.S. dollars, emerging markets and Europe, Australia and Southeast Asia to a net short.

Data from the Commodities Futures Trading Commission shows that large specs partially covered the S&P 500 and Russell 2000 during the first quarter while selling the NASDAQ 100.

Agriculture speculators bought soybean, sold corn, and held wheat steady. Soybean is in a crowded long while wheat is in a crowded net short.

Bartels says large specs bought gold but sold everything else, including silver, copper, platinum and palladium. In energy, large specs bought gasoline, but sold crude, heating oil and natural gas. Heating oil and crude are in a crowded long.

In the forex market, speculators sold U.S. dollars and added to their euro and yen shorts. As for interest rates, speculators partially covered 30-year Treasuries while adding to 10-year and 2-year shorts.

 


In Depth

Q&A: High Conviction, Low Correlation

Oct 30 2014 | 7:35am ET

Acadian Asset Management's numbers are big: over $70 billion in assets under management...

Lifestyle

Ex-Hedgie Steyer Gives $56M To Climate Action Super PAC

Oct 28 2014 | 9:23am ET

Retired Farallon Capital founder Tom Steyer has poured almost $56 million into his...

Guest Contributor

Hedge Funds Weather A Data Management Perfect Storm

Oct 22 2014 | 12:28pm ET

From a regulatory standpoint, nearly every development since the crisis has placed...

 

Videos

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

October 2014 Cover

Demeter: Family affair

David and James Hamman launched their fundamental Livestock and Grains Program in March of 2010 but it really was decades in the making.

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.