Tuesday, 25 April 2017
Last updated 12 hours ago
Feb 21 2012 | 9:56am ET
The Bank of America Merrill Lynch investable hedge fund composite index was up about 0.80% for the month as of February 15.
Event driven and equity long/short strategies were the best performers, adding 1.44% and 1.30%, respectively. Equity market neutral were the worst performing funds, losing 0.19%.
BofAML analyst Mary Ann Bartels says their models indicate that market neutral funds bought market exposure to 3% from 1% net long while equity long/short bought market exposure to 23% from 21% net long. Macros aggressively sold U.S. dollars and bought commodities to a net long for the first time in two month, while noticeably covering their shorts in the S&P 500, NASDAQ 100 and 10-year Treasury futures. In addition, macro hedge funds bought both EM and EAFE to a net long.
An analysis of Commodity Futures Trading Commission data for the monitored period showed large speculators adding to their shorts in the S&P 500, while buying NASDAQ 100 and Russell 2000. As a result, the NASDAQ 100 is in a crowded net long, reports Bartels.
In agriculture, large specs bought soybean while adding to their shorts in wheat, which remains in a crowded short. Metal speculators sold gold and bought silver, copper and platinum. Energy speculators bought crude, which stays in a crowded long, and gasoline while selling heating oil. As for forex, speculators sold the euro, which stays in a crowded short, and the dollar, which stays in a crowded long. Large specs aggressively sold two-year Treasuries, which moved out of a crowded long.