BofAML: Hedge Funds Add 1.2% In Q3

Sep 30 2013 | 1:00pm ET

Hedge funds returns were up 1.2% in Q3 2013, trailing the S&P 500 which added 4.8% over the same period, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Event-driven and merger arbitrage were the best-performing strategies in the third quarter, adding 3.22% and 2.21%, respectively. Macro funds performed worst, shedding 2.28%.

BofAML analyst MacNeil Curry said market neutral funds maintained market exposure of 2% net long while equity long/short funds reduced market exposure from 38% to 42% net long, in line with their 35-40% benchmark.

Macro funds reduced their long exposure to the S&P 500 and the NASDAQ; reduced their long commodities positions; increased their U.S. dollar index longs; and neutralized their 10-year Treasury shorts, becoming net long for the first time since July.

They continued to reduce their small-cap preference and, overseas, increased their EM exposure to its highest level since June and became EAFE short.  

Data from the Commodity Futures Trading Commission showed large equities speculators increased their net longs in the S&P 500 and the NASDAQ and reduced their Russell 2000 shorts.

Agriculture specs sharply increased their long Soybean positions and their corn and wheat shorts while metals specs bought gold while leaving their long silver, platinum and palladium positions almost unchanged and reducing their copper shorts.

Large energy speculators reduced their WTI crude oil longs and their natural gas shorts.

FX specs bought the euro, neutralized their British pound and Mexican peso shorts, increased their yen and Australian dollar shorts, and reduced their dollar index longs.

Interest specs reduced their long 30-year bond futures and and their 10-year note shorts while further reducing their 2-year notes shorts.

In Depth

Financial Industry Blockchain Consortium R3 To Open-Source Platform Code

Oct 20 2016 | 9:03pm ET

Bitcoin's blockchain technology has spawned a flurry of activity among fintech startups...


Hedge Funds Swarm Into Palm Beach

Oct 27 2016 | 2:32pm ET

As the first flakes of snow fall on New York's northern suburbs, Dan Weil of South...

Guest Contributor

Hedge Fund Marketing – Tips for Your Initial Sales Meeting

Sep 29 2016 | 5:46pm ET

There are two main goals a hedge fund should have for an initial in-person sales...