Thu, Mar 5, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Hedge funds up in the first half, still lag S&P

Wednesday, July 11, 2012

Bailey McCann, Opalesque New York: Hedge funds were up 1.26% in the first half of this year but still trail th S&P 500 according to a new report from Bank of America Merrill Lynch Global Research. The global diversified hedge fund composite index was up 1.26% for the first half of 2012, underperforming the S&P 500’s 8.31%. Convertible Arbitrage was the best performing strategy up 4.14%, while Short Bias was the worst down 7.11%.

Market Neutral funds bought market exposure to 3% net long from 1% net short, reversing the aggressive selling in June. Equity Long/Short maintained market exposure at 23% net long, well below the 35-40% benchmark level. Leverage, as measured by NYSE Margin Debt, declined further by 11.5% year-on-year (YOY) to $279.2bn in May. This marks the 7th consecutive month of negative YOY growth since the momentum indicator fell below zero last November.

In June, funds continued to short S&P 500 futures while buying NASDAQ 100 futures. Commodities buying is also on the rise, with funds buying soybean, corn, and wheat. They also bought gold and silver while covering shorts in copper. In currencies, funds are holding steady on the Yen, covering Euro shorts and selling out of the US Dollar.

......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Outlook - Philippe Jordan predicts 'alternative beta' to displace hedge funds, Stan Druckenmiller says Europe, Japan stocks will outpace U.S.[more]

    Philippe Jordan predicts 'alternative beta' to displace hedge funds From Investordaily.com.au: The disappointing performance of hedge funds in recent years is a result of "too much money chasing too little alpha", argues Capital Fund Management. Speaking to InvestorDaily, CFM partner Phi

  2. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  3. Investing - As rig count falls, hedge funds pile into long crude futures, Parus tactically shifts long/short exposure ratios, Mario Draghi outflanking Kuroda as bearish euro bets surge, Prime Capital’s 500.com bet derailed after 41% drop[more]

    As rig count falls, hedge funds pile into long crude futures From 247wallst.com: In the week ended February 27, the total number of rigs drilling for oil in the United States came in at 986, compared with 1,019 in the prior week and 1,430 a year ago. Including 281 other rigs mostly drill

  4. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  5. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his