Credit Suisse Monthly Hedge Fund Commentary ~ market folly

Thursday, April 1, 2010

Credit Suisse Monthly Hedge Fund Commentary

Continuing document dissemination day here at Market Folly, we wanted to present you with Credit Suisse's monthly hedge fund commentary. Though the report is from February, it still does an excellent job of framing how hedge funds have positioned themselves from the year and where their gains or losses have been coming from. Additionally, you'll get a look at Credit Suisse's Tremont hedge fund index and its performance. This research joins the commentary we posted up yesterday where we saw hedgies were re-shorting the euro and buying equities.

In the report, they present findings relating to various fund strategies and we just wanted to quickly touch on some highlights. One of the interesting things we took away from their research was their data on managed futures funds. They note that from the period of 2007 to 2009, managed futures correlation to equities dropped. As such, these funds saw positive performance in the crisis but negative performance during the great equities rally in 2009.

Turning to event driven funds, they found that many managers in this arena felt that 2010 would be much more conducive to deal-making and as such would provide them with ample portfolio opportunity. Dan Loeb of hedge fund Third Point LLC certainly agrees with this and made special note of event driven opportunities in his recent investor letter. In regards to global macro funds, Credit Suisse actually found that many funds held fewer strategic positions as there was a range of uncertainty surrounding governments and central banks toward the beginning of the year. We've covered the thoughts of a few global macro funds on the site including Prologue Capital's recent commentary and some past thoughts from Woodbine Capital where they thought that the most important macro issue was global rebalancing.

Overall, the report is an interesting glimpse at how various fund strategies have been positioned in the first quarter of the year. Embedded below is monthly research from Credit Suisse and their Tremont hedge fund index:

You can directly download a .pdf here.

For more hedge fund research that we've covered, check out Bank of America Merrill Lynch's recent hedge fund trend report as well as Goldman Sachs' list of most important stocks for hedge funds.

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