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Bank of America Merrill Lynch report shows hedge funds lagging S&P 500

Monday, March 05, 2012
Opalesque Industry Update: Mary Ann Bartels, head of U.S. Technical Analysis at Bank of America Merrill Lynch reports that in their February Hedge Fund Monitor, the hedge fund flash return was up 1.19%, lagging the S&P 500 by 2.87%. Event Driven and Convertible Arbitrage performed the best for the month, up 2.36% and 1.48%, respectively; Equity Market Neutral performed the worst, down 0.83%. Bartels writes: “Our models indicate that Market Neutral funds bought market exposure to 7% from 5% net long. Equity Long/Short held steady market exposure at 21% net long. Macros bought the S&P 500 to flat, sold commodities, 10-year Treasury futures, EAFE and EM exposures. In addition, Macro hedge funds bought the NASDAQ 100 to a net long for the first time since last August” For the full report please go to Source.

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