| 05.03.2012 Bank of America Merrill Lynch report shows hedge funds lagging S&P 500 |
| 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. Press Release bc |