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

Star Fund Managers Battered By Rocky Ride In Yields, Currencies

May 28 2015 | 6:05am ET

Some of the biggest names in the investment world have been whipsawed by the recent...

Lifestyle

Yale Receives $150 Million Gift from Blackstone’s Schwarzman

May 12 2015 | 12:10am ET

Yale University announced it has received a $150 million gift from Blackstone Group...

Guest Contributor

When Less is More: The Case for Concentrated Equity Strategies

Jun 1 2015 | 7:59am ET

The conventional wisdom is that wide diversification is the “holy grail,” as...

 

Sponsored Content

Editor's Note