BofAML: Hedge Funds Add 1.26% In H1

Jul 10 2012 | 9:51am ET

Hedge funds trailed the S&P 500 in the first half of 2012, according to the Bank of America Merrill Lynch Hedge Fund Monitor.

Analyst Mary Ann Bartels says the BofAML global diversified hedge fund composite index was up 1.26% in the first six months of 2012, while the S&P 500 added 8.31%.

The best-performing strategy was convertible arbitrage, up 4.14% in H1, whereas the worst performer was short bias, down 7.11%.

Bartels says market neutral funds bought market exposure to 3% net long from 1% net short, reversing their aggressive selling in June. Equity long/short funds maintained market exposure at 23% net long, well below the 35-40% benchmark level. Macros partially covered the S&P 500 and NASDAQ 100, added to their shorts in commodities and 10-year Treasuries, reduced EM and EAFE exposure and bought U.S. dollars to the longest in a year. In addition, says Bartels, macros switched to a large cap tilt for the first time since April.

Data from the Commodity Futures Trading Commission shows large speculators bought the NASDAQ 100, partially covered the Russell 2000 but added to their shorts in the S&P 500.

Agriculture speculators bought soybean, corn and wheat while metals speculators bought gold, silver and platinum; were flat palladium; and partially covered copper.

Energy speculators bought crude oil and gasoline, partially covered natural gas, but sold heating oil to a crowded short for the first time since October 2011. Foreign exchange specs sold U.S. dollars, were flat the yen and partially covered their shorts in the euro, says Bartels.

Interest rates speculators sold 30- and 10-year Treasuries while buying 2-year Treasuries.
 


In Depth

Q&A: George Schultze On His Fund's Unique Approach to Distressed Investing

Apr 16 2015 | 1:01am ET

George Schultze is a managing member of Schultze Asset Management, a long/short...

Lifestyle

Puerto Rico Woos The Rich But So Far Gains Little

Apr 17 2015 | 2:45am ET

Hedge fund manager Rob Rill grins. He has just had word that U.S. financial regulators...

Guest Contributor

Minnesota Supreme Court Rejects The Ponzi Scheme Presumption: Lenders Claw Back Some Of Their Own Rights

Apr 17 2015 | 9:23am ET

A recent court ruling in Minnesota has put an end to the Ponzi Scheme Presumption...

 

Editor's Note