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

GSAM’s Papagiannis on Liquid Alternatives

May 25 2016 | 5:07pm ET

The popularity of liquid alternatives strategies has blossomed in recent years,...

Lifestyle

From Modern Trader: Stephen Curry is a Black Swan

May 18 2016 | 7:43pm ET

What do the rise of the Internet, the sinking of the Titanic, 9/11, and Stephen...

Guest Contributor

LendingClub and the Question of Internal Hedge Funds

May 19 2016 | 8:42pm ET

Peer-to-peer lending platform LendingClub Corp. has been in the news since the firm...