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

Royalties: The Alternative Assets of the Music Industry

Jul 8 2016 | 7:01pm ET

Recent market volatility has investors seeking greater insight into alternative...

Lifestyle

Vortic: Making Great American Watches Again

Jul 25 2016 | 6:29pm ET

If you are compelled by stories of entrepreneurial vision & drive, or simply...

Guest Contributor

MPI: Like Stellar Returns? Better Understand the Risks First

Jul 22 2016 | 8:44pm ET

When the press reports extraordinarily strong relative or risk-adjusted returns...