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Hedge funds seek out positive month despite losses in macro, managed futures and commodity funds

Thursday, March 07, 2013

Bailey McCann, Opalesque New York: Hedge funds held overall returns in positive territory this month, however, good performance from equity, credit and volatility strategies was overshadowed by losses from macro, managed futures and commodity funds. According to monthly performance data from eVestment, hedge funds were up +0.28% for the month and are up +6.87% for the year. Macro, managed futures and commodities strategies were down - -0.01%; 1.49%, and -3.01% respectively.

Directional equity is leading the industry early in 2013, with correlation with the S&P near all-time highs. Credit fund returns continued to be led by mortgage funds in February, but the group’s percentage of winners during the month dipped to the lowest level since May 2012, the last month in which credit funds posted an aggregate loss.

Commodity funds followed commodity prices in February and accounted for the worst month of returns since May 2012. Major commodity indices lost 3% over the month reflecting a similar loss from funds themselves. If this trend continues commodities funds may post negative returns year-to-date continuing the track they were on at the end of 2012. Systematic trading strategies have been a drag on hedge fund performance both in 2012 and into 2013, severely underperforming managers with a discretionary approach to position taking.

"The difficulties facing systematic strategies is indicative of markets where current prices are likely being influenced very di......................

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