Hedge Funds Down 0.16% MTD

Nov 29 2012 | 8:58am ET

Hedge funds are down 0.16% month to date as of November 21, according to the Bank of America Merrill Lynch investable hedge fund composite index.

That was still a better performance than the S&P 500, which was down 1.50% over the same period.

Convertible arbitrage and merger arbitrage were the best-performing strategies, adding 0.54% and 0.38% month to date, respectively. CTAs turned in the worst performance, shedding 0.69%.

According to BofAML analyst Mary Ann Bartels, market neutral funds held market exposure steady at 3% net long over the monitored period while equity long/short funds aggressively bought market exposure to 29% from 24% net long (still below the 35-40% benchmark). Macros sold their long positions in the S&P 500, NASDAQ 100, commodities and 10-year Treasuries, while partially covering their shorts in the U.S. dollar, EM and EAFE.

Large equities speculators sold the S&P 500 and NASDAQ 100, and added to their shorts in the Russell 2000. Bartels notes that their NASDAQ 100 position has reached short levels not seen since August 2011.

Agriculture specs sold soybeans and wheat while buying corn. Metals speculators bought gold, silver and palladium, partially covered copper but sold platinum and energy speculators bought crude oil and gasoline, sold heating oil and added to their shorts in natural gas.

Large forex speculators added to their shorts in euro and yen and held the U.S. dollar steady. Interest rate specs aggressively bought 30-year and 2-year Treasuries and slightly bought 10-year Treasuries.

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…