Wed, Oct 7, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Hedge funds lever up - Bank of America Merrill Lynch

Tuesday, October 09, 2012

Bailey McCann, Opalesque New York: Hedge funds have reversed a nine month trend, increasing leverage 5.4% year-on-year (YOY) according to new research from Bank of America Merrill Lynch Global Research. According to Mary Ann Bartels, lead hedge fund analyst at BofAML, leverage is up $286.6bn in August, after nine consecutive months of negative YOY growth since last November. The moves are a potential signal that investors expect equity markets will continue to trend to the upside in the near term.

Despite positive investor sentiments, report data shows that Q4 is likely to show overall underperformance from hedge funds despite a strong third quarter. "Since 1995, hedge funds outperformed the S&P 500 index by an average of 207bps in 3Q, and underperformed by 312bps in 4Q," Bartels writes. Historical data trends show that hedge funds tend to outperform in down markets and underperform when markets start to go up. The only time hedge funds were prepared for a year-end rally was the year 2000, when they posted strong numbers even as markets went higher.

The global diversified hedge fund index was up approximately 1.91% in 3Q’12 and up 3.31% year to date, still underperforming the S&P 500. In terms of individual strategies, Convertible Arbitrage was the best performer YTD and up 5.82%; Market Neutral performed the worst and was down 5.46%. Market Neutral and Equity Long/Short have both increased their market exposures to 1% net short and 19% net long respectively. Mac......................

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. U.S. hedge funds prepare for worst finish this year since 2008[more]

    Komfie Manalo, Opalesque Asia: U.S.-focused hedge funds are preparing for their worst year since the 2008 global financial crisis, following a series of letdown including the market sell-off in August and the sell-off in healthcare and biotechnology sectors last month, reported

  2. Investing - AQR Capital and Renaissance Technologies raise stakes in Southwest Airlines[more]

    From In the previous part of this series, we saw how institutional investors played Southwest Airlines (LUV) in 2Q15. Now let’s move on to the trades executed by key hedge funds in Southwest Airlines over the same period. … Most of the hedge funds that had significant exposu

  3. DoubleLine’s Jeffrey Gundlach warns of another round of market shakedown[more]

    Komfie Manalo, Opalesque Asia: DoubleLine Capital co-founder Jeffrey Gundlach is painting a bleak future as he warned that the U.S. equity market and other risk markets, such as high-yield "junk" bonds, are facing another round of selling pressure. Gundlach said in an interview with

  4. A hedge fund strategy that seems to have fizzled[more]

    From The hedge fund strategy that has attracted the most money this year is on course to cause some of the biggest losses for investors, in the latest example of the dangers of going with the crowd. Institutions and individuals have piled an estimated $20 billion (Dh73 billion) into ma

  5. Hedge fund Barnegat survives September’s market selloff[more]

    Komfie Manalo, Opalesque Asia: Bob Treue’s $679 million Barnegat Fund proved resilient after another month of market letdown as the hedge fund gained 2.2% last month, bringing its year-to-date gains to 2.8%. Treue said in his monthly report to i