Mon, Mar 2, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Hedge funds remain highly correlated to the S&P 500

Tuesday, October 16, 2012

Bailey McCann, Opalesque New York: Hedge funds remain highly correlated to the S&P 500, according to a new report from Bank of America Merrill Lynch Global Research. Data shows that while correlation to the S&P 500 has dropped from historic highs of 97%, overall correlation remains elevated at 82%, suggesting that too many hedge funds are going after too few returns. The drop in correlation comes with a significant underperformance relative to the index, hedge funds are up 3.04% year to date as of September 26 2012, compared to 13.97% for the S&P 500.

The Market Neutral strategy has the highest correlation to the S&P - 91%, while Macro and Managed Futures have the lowest at 15% and -66%. Hedge funds have been showing elevated correlations to the index since 2010, with historic highs being reached in 2011, according to the report. The last high correlation macro cycle lasted six to eight years based on historic data. The 17-year historical average puts correlation at 30%, making the current 82% more notable especially given that it is a drop from last year, notes Mary Ann Bartels, lead hedge fund analyst at BAML.

Preliminary readings of the global diversified hedge fund index were up 0.51% in September, underperforming the S&P 500’s 2.42%. For individual strategies, Long/Short and Event Drive......................

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. 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

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. 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

  4. 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

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie