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.


In Depth

Kettera Q&A: The Advantages of Alternative Investment Platforms

Oct 28 2016 | 5:52pm ET

The past several years have seen a distinct push towards easier and cheaper access...

Lifestyle

Midtown's Plaza District Fades As Manhattan Office Landscape Shifts

Nov 22 2016 | 6:32pm ET

Lower leasing costs, more efficient office space and the hope of projecting an image...

Guest Contributor

Nowhere to Hide: Why the Future of Asset Management Depends on Innovation

Nov 15 2016 | 6:55pm ET

Information technology has reshaped the asset management industry’s periphery,...

 

From the current issue of

Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

AVAILABLE NOW at BARNES & NOBLE

NEWSTAND LOCATOR