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

Kettera Q&A: The Advantages of Alternative Investment Platforms

Oct 28 2016 | 5:52pm ET

The past several years have seen a distinct push towards easier and cheaper access...

Lifestyle

Midtown's Plaza District Fades As Manhattan Office Landscape Shifts

Nov 22 2016 | 6:32pm ET

Lower leasing costs, more efficient office space and the hope of projecting an image...

Guest Contributor

Nowhere to Hide: Why the Future of Asset Management Depends on Innovation

Nov 15 2016 | 6:55pm ET

Information technology has reshaped the asset management industry’s periphery,...

 

From the current issue of

Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

AVAILABLE NOW at BARNES & NOBLE

NEWSTAND LOCATOR