Hedge Funds Add 0.13% In November

Dec 3 2012 | 12:16pm ET

The investable hedge fund composite index was up 0.13% as of November 28, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor.

Despite their losses, hedge funds still outperformed the S&P 500 which was down 0.16% for the same period.

Merger arbitrage and convertible arbitrage were the best-performing hedge fund strategies, up 0.51% and 0.44%, respectively. CTAs, on the other hand, shed 0.35%, the worst performance of the month.

BofAML analyst Mary Ann Bartels says market neutral funds sold market exposure to 2% from 3% net long during the monitored period while equity long/short funds sold market exposure to 27% from 29% net long, further below the 35-40% benchmark. Macros continued to unwind, said Bartels, selling their long positions in the S&P 500, NASDAQ 100, commodities and 10-year Treasuries while partially covering their shorts in the dollar and EM. Meanwhile, she said, they reduced their large-cap preference and added to their shorts in EAFE.

Commodity Futures Trading Commission data shows that large speculators bought the S&P 500 and NASDAQ 100 and remained flat the Russell 2000 while agricultural specs sold soybean, bought corn and remained flat wheat.

Large metals speculators bought gold, silver, palladium and platinum while maintaining their shorts in copper. Energy specs bought heating oil and gasoline, sold crude and added to their shorts in natural gas.
 
Forex speculators added to their shorts in yen, bought the U.S. dollar and partially covered the euro. Interest rate specs sold 30-year and 2-year Treasuries, and bought 10-year Treasuries.


In Depth

Israeli Hedge Fund Harnesses Big Data

Jul 28 2014 | 8:10am ET

Apica Green is a multi-million dollar Israeli hedge fund that is based in Tel Aviv...

Lifestyle

David Yarrow On Growing His Hedge Fund And Shooting The Animals And People Of Africa - As A Photographer

Jul 23 2014 | 6:44am ET

While he’s always been a photographer, recent expeditions to Iceland, Ethiopia...

Guest Contributor

Compelling Opportunities In The Alternatives Space

Jul 29 2014 | 9:33am ET

In an environment where many asset classes seem expensive by historical standards...

 

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