BofAML Says Hedge Funds Up 0.18% In March

Apr 16 2012 | 1:27pm ET

The Bank of America Merrill Lynch global diversified hedge fund composite index was up 0.18% in March, trailing the S&P 500 by 2.95%.

By region, U.S. and Japan funds performed “relatively better” in March 2012, according to the latest BofAML Hedge Fund Monitor, with Japanese long/short funds up 1.40% and U.S. funds returning 0.90%. The biggest losers, relatively, were Asia (excluding Japan) funds, down 2.11% for the month, and Asia (including Japan) funds, down 1.47%.

By strategy, event driven and distressed credit funds performed the best, up 0.89% and 0.74% respectively. Managed futures turned in the worst performance, shedding 1.45%.

According to BofAML analyst Mary Ann Bartels, market neutral funds held market exposure steady at 4% net long while equity long/short maintained market exposure at 34% net long. Macro strategies reduced risks, selling the S&P 500, NASDAQ 100, EM and EAFE, 10-year Treasuries and   commodities, while partially covering U.S. dollars.

Large speculators bought the S&P 500 and NASDAQ 100,  while adding to shorts in the Russell 2000. The NASDAQ 100 is in a crowded net long.

Large specs sold soybean, corn and wheat in agriculture and metals across the board—copper, for instance, was sold to $0.04 billion notional from $0.9 billion notional last week, according to BofAML analysts, and is testing support near $3.70-$3.60.

In the energy sector, large specs sold crude, heating oil and gasoline, while partially covering natural gas.

Speculators added to their shorts in the euro and yen, while remaining flat in terms of U.S. dollars. Large specs partially covered their shorts in 30-year, 10-year and 2-year Treasuries.



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