Hedge Funds Lag S&P 500, Add 3.04% YTD

Oct 1 2012 | 10:13am ET

Hedge funds were up 3.04% year-to-date as of September 26, according to a Bank of America Merrill Lynch estimate, compared to a 13.97% YTD gain by the S&P 500.

Based on investable hedge fund indices, BofAML says convertible arbitrage and event driven funds were the best performers over the monitored period, up 5.58% and 4.99%, respectively. Market neutral strategies were the worst performers, shedding 5.31%.

BofAML analyst Mary Ann Bartels said their models indicate that market neutral funds sold market exposure to 4% net short from 3% net short over the monitored period while equity long/short funds sold market exposure to 17% from 18% net long, well below the 35-40% benchmark level. Macros bought the S&P 500, NASDAQ 100 and commodities; increased their EM and EAFE exposures; and bought 10-year Treasuries, while adding to their U.S. dollar shorts. They also switched to a small cap preference.  

Bartels said an examination of Commodity Futures Trading Commission data showed large speculators bought the S&P 500 and Russell 2000 while selling the NASDAQ 100.

Agriculture speculators sold everything—soybeans, corn and wheat—while metals speculators bought everything—gold, silver, copper, platinum and palladium.

Large energy speculators sold crude, were flat heating oil, bought gasoline and added to their shorts in natural gas. Forex specs bought yen and euro and sold U.S. dollars to a net short for the first time since September 2011. Interest rate speculators sold 30-, 10- and 2-year Treasuries.


In Depth

Why Ponzi Schemes Work: An In-Depth Look At The Allen Stanford Fraud

Dec 21 2014 | 10:30am ET

Texan Allen Stanford first appeared on the radars of financial regulators in 1997...

Lifestyle

Hedgie Funds US Squash Program

Dec 24 2014 | 8:46am ET

Squash, anyone?

Guest Contributor

EidoSearch’s Top Three Market Projections For 2015

Dec 23 2014 | 4:03am ET

It is that time of year again when prognosticators make their big market calls for...

 

Sponsored Content

Editor's Note

    Guidelines for Guest Articles

    Oct 22 2014 | 9:46am ET

    We are always looking for guest articles from hedge fund managers and buy-side firms.

    If you are interested in submitting a contributed piece for possible publication on FINalternatives, please take a look at the specs. Read more…

 

Futures Magazine

December 2014 Cover

Futures 2014 person of the year

Jeff Sprecher was simply looking for a platform to trade energies when launching ICE 14 years ago but it has grown to reach the pinnacle of both the listed futures and equities world.

The Alpha Pages

TAP July/August 2014 Cover

The Alpha Pages Interview: Senator Rand Paul

Senator Paul sat down in the debut series of the Alpha Pages Interview to discuss the broken tax code, regulation surrounding Bitcoin, and his plans for the 2016 Presidential election.