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Alternative Market Briefing

Hedge fund returns positive in January, up +1.74% - still lagging S&P

Tuesday, February 05, 2013

Bailey McCann, Opalesque New York: Hedge funds were up overall in January 1.74%, however they still underperformed the S&P 500 which returned 5.04%, according to the latest report from Mary Ann Bartels, lead hedge fund analyst for Bank of America Merrill Lynch. Data shows that overall, Sharpe Ratios were poor for equity based funds in 2012, specifically for macros and managed futures.

In terms of strategies over the week, Event Driven & Long/Short performed the best, up 3.27% and 2.31%, respectively. Market Neutral performed the worst and was down 0.47% for the same period. Market Neutral funds sold market exposure to 5% from 2% net short. Equity Long/Short slightly bought market exposure to 23% from 22% net long, still below the 35-40% benchmark.

Macros are aggressively buying commodities, including soybean and corn as well as cutting their shorts on wheat by half. Funds sold gold into the buy zone, bought platinum & palladium to a crowded long, bought silver and flat copper. In energy, funds bought crude oil, heating oil and gasoline, and partially covered natural gas. In currencies, funds added to their positions in the US Dollar and Euro while continuing to short the Yen. Treasuries saw an aggressive sell out of futures. Funds sold 10-yr and 2-yr treasuries and added to their shorts in......................

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