Hedge Funds Beat S&P 500 During 1st Week Of Nov.

Nov 14 2012 | 8:30am ET

Hedge funds outperformed the stock market in the first week of November, with the Bank of America Merrill Lynch investable hedge fund composite index adding 0.10% compared to a 1.25% drop for the S&P 500.

CTAs and convertible arbitrage were the best performing strategies last week, up 0.80% and 0.54%, respectively. The worst performing strategy was market neutral, down 0.27%.

According to BofAML analyst Mary Ann Bartels, market neutral funds sold market exposure to 1% from 6% net long. Equity long/short also held market exposure steady at 24% net long and remain below the 35-40% benchmark. Macros bought the S&P 500, NASDAQ 100, commodities and 10-year Treasuries, adding to their shorts in emerging markets and U.S. Dollars while aggressively selling EAFE exposure to a net short for the first time since August 2012.

Bartels says they believe asset flows may be influencing hedge fund positioning, with market exposure highly correlated to total asset changes for long/short hedge funds and it is therefore important for hedge funds to maintain positive asset inflows to be able to raise their market exposure going into year-end.
An examination of Commodity Futures Trading Commission data shows that equities speculators bought the S&P 500, sold the NASDAQ 100 and partially covered Russell 2000 futures.
Large agriculture speculators sold soybeans, bought wheat and were essentially flat corn while metals speculators sold gold, silver and platinum; were flat copper; and bought palladium.

Energy speculators bought crude, sold heating oil and gasoline, and added to their shorts in natural gas as forex speculators added to their shorts in euro and yen and aggressively bought dollars to a net long. Interest rate speculators, meanwhile, bought 2-year Treasury futures, sold 10-years and added to their shorts in 30-years.

In Depth

Related-Company Fees: Normal Industry Practice or Conflicted Compensation?

Nov 11 2015 | 4:23pm ET

Regulatory agencies as well as investors are increasingly exploring whether certain...


Ferrari Roars in Wall Street Debut

Oct 21 2015 | 4:28pm ET

Shares of supercar maker Ferrari jumped as much as 15 percent to a high of nearly...

Guest Contributor

Private Debt - What is the Opportunity?

Nov 11 2015 | 3:28pm ET

In this contributed article, Rob Allard, founding partner of Firebreak Capital...


Editor's Note

    Oct 21 2015 | 10:41am ET

    One of the most unique charity benefits in the hedge fund industry, A Leg To Stand On's (ALTSO's) Hedge Fund Rocktoberfest - NYC, raised nearly $500,000 last Thursday thanks to the generous support of major sponsors and nearly 1,400 attendees from the Tri-State finance, business and hedge fund communities. Read more…