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

Change In 'Accredited Investor' Definition Could Hurt Crowdfunding Space

Jul 25 2014 | 8:14am ET

The Securities and Exchange Commission is considering changes to its 30-year-old...

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

The Truth About Track Record Portability

Jul 24 2014 | 5:55am ET

The number of private funds converting to mutual funds has increased significantly...

 

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…

Futures Most Popular

Hard Assets Trending

Publisher's Note