Hedge Funds Up 1.71% In Q3

Sep 24 2012 | 2:10pm ET

The investable hedge fund composite index was up 1.71% for Q3 2012, as of September 19, reports the Bank of America Merrill Lynch in its most recent Hedge Fund Monitor.

Long/short strategies were the best performers in Q3, adding 2.27%, followed by event-driven strategies, which were up 2.04%. The worst performers were market neutral funds, down 0.28% and merger arbitrage funds, down 0.20%.

BofAML analyst Mary Ann Bartels says market neutral funds bought market exposure to 3% net short from 8% net short over the monitored period. Equity long/short bought market exposure to 18% from 17% net long, well below the 35-40% benchmark, says Bartels, reminding readers that their models are lagged by four weeks. Macros bought the S&P 500, EAFE and commodities while selling the NASDAQ 100 and adding to their U.S. dollar and EM shorts and covering their 10-year T-bill shorts.

Commodity Futures Trading Commission data shows equities speculators bought the S&P 500, sold the NASDAQ 100 and Russell 2000. Agriculture speculators sold soybeans and corn while buying wheat.

Large metals speculators bought everything -- gold, silver, copper, platinum and palladium -- while energy specs bought crude and heating oil, sold gasoline and partially covered natural gas.

Forex speculators aggressively sold yen and dollars while partially covering the euro. Interest rate speculators bought 10- and 2-year Treasuries while selling 30-year Treasuries to flat.


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