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Alternative Market Briefing

Hedge funds outperform S&P in November, leverage ticks up - BAML

Tuesday, December 04, 2012

Bailey McCann, Opalesque Industry Update: The investable hedge fund composite index was up 0.13% for November as of November 28, compared to down 0.16% for the S&P 500, according to the latest data from Bank of America Merrill Lynch Global Research. Leverage also began to rise in October. As measured by NYSE Margin Debt, leverage rose 12.1% year-on-year (YOY) to $317.5bn in October, a sign that investors are becoming more confident in the market according to lead hedge fund analyst for Bank of America Merrill Lynch, Mary Ann Bartels.

In terms of strategies, Merger Arbitrage and Convertible Arbitrage are the best performers, up 0.51% and 0.44%, respectively; CTA Advisors performed the worst and was down 0.35%. Macros continued to unwind selling long positions in the S&P 500, NASDAQ 100, commodities and 10-year Treasuries, while partially covering their shorts in the dollar and emerging markets.

In commodities, corn moved back into a crowded long while funds sold soybean and were flat wheat. In metals, funds bought gold, silver, palladium & platinum, and maintained their shorts in copper. In energy, funds bought heating oil & gasoline, sold crude, and added to their shorts in natural gas. The Euro is in a crowded short, and the Yen is approaching a crowded short, funds continue to buy the US Doll......................

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