Hedge Funds Add 3.26% In Q1, Lag S&P 500

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.


In Depth

Whisky Business: The Ultimate Liquid Alternative Investment

Sep 15 2014 | 7:02am ET

David Robertson knows his single-malt whisky—he was the Master Distiller at the...

Lifestyle

Hedgies Rock Out For Children's Charity

Sep 15 2014 | 8:40am ET

It's that time of year again—when hedgies trade in their spreadsheets for guitars...

Guest Contributor

Volkered: How Financial Sector Reforms are Creating Opportunities for Hedge Funds

Sep 16 2014 | 11:28am ET

New regulations have dramatically curtailed proprietary trading activity in investment...

 

Editor's Note

    Get A Sneak Peak Of The Alpha Pages

    Aug 25 2014 | 11:21am ET

    As many of you know, FINalternatives was recently acquired by the owners of Futures magazine, a firm called The Alpha Pages LLC. Today marks the soft-launch of a new sister site for both publications. As its name suggests, The Alpha Pages will cover all types of alternative investments, going far beyond the more well-known ones such as hedge funds and private equity. Read more…

 

Futures Magazine

July/August 2014 Cover

In search of the ‘new normal’ at the Fed

The Federal Reserve keeps baby-stepping toward a “normalization” of monetary policy. But just what is normal?

The Alpha Pages

TAP July/August 2014 Cover

The Alpha Pages Interview: Senator Rand Paul

Senator Paul sat down in the debut series of the Alpha Pages Interview to discuss the broken tax code, regulation surrounding Bitcoin, and his plans for the 2016 Presidential election.