Long/Short Equity Funds Perform Best In September

Oct 23 2012 | 9:16am ET

Long/short equity hedge funds were up 1.11% as of October 17, the best-performing strategy of those tracked by Bank of America Merrill Lynch in its latest Hedge Fund Monitor.

Overall, hedge funds were up 0.19% month to date, according to BofAML, trailing the S&P 500 which added 1.40%.

CTAs produced the worst results month to date, shedding 1.43%.

Analyst Mary Ann Bartels said their models indicate market neutral funds sold market exposure to flat from 4% net long during the monitored period while equity long/short maintained market exposure at 22% net long.

Macro strategies sold the S&P 500, NASDAQ 100, commodities and 10-year Treasuries, partially covered EM shorts, maintained EAFE long exposures, and continued to cover their U.S. dollar shorts, reports Bartels, while tilting further toward small caps.

Data from the U.S. Commodity Futures Trading Commission shows equities speculators buying the S&P 500 and Russell 2000 futures and selling the NASDAQ 100 as agriculture speculators bought some corn but sold soybeans and wheat.

Metals specs sold gold and silver while remaining flat copper, platinum and palladium. Energy specs bought heating oil, but sold crude, natural gas and gasoline.

Foreign exchange speculators sold the yen, while partially covering their euro and dollar shorts.


In Depth

Q&A: Schroders’ Forest Discusses Multi-Asset Investments On Eve Of U.S. Launch

Jul 17 2014 | 8:05am ET

Global investment manager Schroders has $446 billion in assets under management, $...

Lifestyle

Einhorns Busts At WSOP, Finishes In 173rd

Jul 15 2014 | 10:48am ET

Greenlight Capital founder David Einhorn’s World Series of Poker won’t end at...

Guest Contributor

Common Risk Parity Misperceptions

Jul 16 2014 | 11:02am ET

Over the past few years, risk parity has become a component of most investors’...

 

Sponsored Content

    Northern Trust Helps Hedge Funds Navigate Derivatives Regulations

    Jul 8 2014 | 10:48am ET

    The surge in derivatives regulation is among the most complex challenges facing the financial services industry today. Northern Trust’s Joshua Satten recently spoke with FINalternatives to share insights into the challenges presented by new regulation and explore how the industry is responding. Read more…

Publisher's Note