BoAML: Event Driven, Merger Arb Best Performers In April

May 15 2012 | 12:29pm ET

Event driven and merger arbitrage hedge funds turned in the best performances in April, a month that saw overall hedge funds lose ground, according to the latest numbers from Bank of America Merrill Lynch.

The BofAML Global Diversified Hedge Fund Index was down 0.37% for the month, which was better than the S&P 500, which was down 0.75%. Event driven hedge funds outperformed, adding 0.38% in April, as did merger arbitrage funds, adding 0.31%.

Market/neutral funds, which shed 0.51%, were the biggest losers in April.

BofAML analyst Mary Ann Bartels says their models show that market neutral funds sold market exposure to 4% net short from 1% net short last month while equity long/short funds bought market exposure to 25% from 21% net long. Macros sold the S&P 500, NASDAQ 100, commodities, U.S. dollars and 10-year Treasuries while reducing emerging market and Europe, Australia and Southeast Asia exposures.

Commodity Futures Trading Commission data for the month show large speculators sold the NASDAQ 100 while adding to their shorts in the S&P 500 and Russell 2000. The NASDAQ 100 moved out of a crowded long for the first time since January.

In agriculture, large specs bought corn but sold soybean and wheat. In the metals space, speculators
sold everything: gold, silver, copper, platinum and palladium.

Speculators sold crude, heating oil and gasoline while partially covering natural gas and on the foreign exchange market sold dollars and euros while partially covering yen.

Large specs bought 30- and 10-year Treasuries, but slightly sold 2-year Treasuries.

 


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