Friday, 6 March 2015
Last updated 3 hours ago
Apr 2 2013 | 11:49am ET
Hedge funds underperformed the S&P 500 in Q1 2013, with the global diversified hedge fund index gaining 3.26% to the stock index's 10.03%.
For the month of March, according to analyst Stephen Suttmeier in the latest Bank of America Merrill Lynch Hedge Fund Monitor, hedge funds were up 0.64% while the S&P 500 was up 3.24%.
Event-driven and equity long/short were the best-performing strategies last month, adding 1.45% and 1.29%, respectively. The worst performers were market neutral strategies, down 0.13% on the month.
Suttmeier says their models indicate that market neutral funds aggressively sold market exposure to 2% net long from 7% net long over the monitored period while equity long/short funds sold market exposure to 23% from 28% net long, well below the 35-40% benchmark. Macros sold the S&P 500, NASDAQ 100 and 10-year Treasuries; bought commodities; and aggressively bought the U.S. dollar to a slight net long for the first time since January 2013. In addition, they partially covered EM but maintained their shorts in EAFE.
Large equities speculators sold both the S&P 500 and Russell 2000 while remaining flat NASDAQ 100 futures. Agriculture specs bought soybean and corn and partially covered their shorts in wheat.
Metals speculators sold gold and silver, were essentially flat platinum and palladium, and added to their shorts in copper. Gold moved out of a buy zone as silver moved in and palladium stayed in a crowded long. Large energy specs bought crude oil and gasoline, sold heating oil and partially covered natural gas.
Foreign exchange specs held U.S. dollars steady in a crowded long while adding to their shorts in euros and yen. Interest rates specs covered 30-year Treasuries, and bought 10- and 2-year Treasuries.
Jan 23 2015 | 1:00pm ET
In our new section, FINtech Focus, we will profile one of these firms each week. While fintech is a broad category, we will be focusing on firms that specifically cater to the alternative investment industry. Read more…