BofAML: Hedge Funds Shed 1.38% In Q2

Jul 2 2012 | 11:40am ET

Hedge funds were down 1.38% in the second quarter of 2012 according to the Bank of America Merrill Lynch investable hedge fund composite index.

Hedge funds outperformed the S&P 500, which was down 5.44% quarter to date. 

According to the latest BofAML Hedge Fund Monitor, CTA Advisors (up 0.99% QTD) and macro strategies (up 0.46% QTD) were the best performers in the second quarter and the only strategies to end in the black.

Market neutral (down 3.45%) and equity long/short (down 3.27%) turned in the worst performances of the quarter.

BofAML analyst Mary Ann Bartels says market neutral funds cut market exposure to 1% net short from 1% net long in Q2, while equity long/short sold market exposure further—from 26% to 23% net long. Macros added to their shorts in the S&P 500 and NASDAQ 100, partially covered commodities and10-year  Treasuries, bought EM and EAFE to net longs, and maintained their long  positions in the dollar. In addition, macros also reduced their small-cap tilt.

An examination of Commodity Futures Trading Commission data reveals that large equities speculators bought the NASDAQ 100, partially covered the S&P 500 and added to their shorts in the Russell 2000.

Agricultural speculators bought soybean, corn and wheat, leaving soybean in a crowded net long, and wheat approaching a crowded long. Metals speculators sold gold, silver, platinum and palladium, while adding  to their shorts in copper. Large energy speculators sold crude oil, heating oil and gasoline, and added to their shorts in natural gas. Heating oil is approaching a crowded short.

Foreign exchange speculators sold the dollar and the yen while continuing to short the euro. Interest rate speculators sold 30- and 2-year Treasures while adding to their shorts in 10-year Treasuries.

 


In Depth

Dillon Eustace: The Advantages of ICAVs

Feb 11 2016 | 7:51pm ET

As the growth of alternative investment vehicles continues, global asset managers...

Lifestyle

Citadel's Ken Griffin Donates $40M To New York's Museum of Modern Art

Dec 22 2015 | 9:23pm ET

Citadel founder Ken Griffin has donated $40 million to New York’s Museum of Modern...

Guest Contributor

Hedging Against Reputational Risk in the 21st Century

Feb 12 2016 | 7:18pm ET

For investors, the first step in researching a new fund or manager is to google...