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
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.
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