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BofAML reveals 2012 flash return of 3.02% for hedge funds composite index

Monday, January 07, 2013
Opalesque Industry Update - Bank of America Merrill Lynch reports that the hedge funds 2012 flash return for the investable hedge fund composite index was up 3.02%, compared with a price return of 11.52% for the S&P 500 as of December 28 2012.

Convertible Arbitrage and Event Driven performed the best, up 7.10% and 5.47%, respectively while Market Neutral performed the worst and was down 4.81% for the year.

BofAML examined hedge fund positioning by major strategies and found that their models indicated that Market Neutral funds sold market exposure to 3% from 4% net long. Equity Long/Short aggressively sold market exposure to 19% from 27% net long, well below the 35-40% benchmark and Macros bought the S&P 500, NASDAQ 100 and USD, maintained their shorts in 10-year Treasuries, added to their shorts in EM & EAFE exposures, and sold commodities to a net short for the first time since August 2012.

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