BofAML Investable HF Index Climbs Over 2% YTD

Feb 27 2012 | 12:48pm ET

Bank of America Merrill Lynch’s investable hedge fund composite index was up roughly 2.36% year-to-date as of February 22, still trailing the S&P 500 (up 5.60%) and led by event driven and equity long/short strategies.

The latest Hedge Fund Monitor from BofAML analyst Mary Ann Bartels shows event driven funds were up 4.77% in the monitored period while equity long/short funds added 3.27%. The worst performers were equity market neutral funds, which shed 0.19%.

In terms of market positioning, Bartels says their models show market neutral funds bought market exposure to 5% from 3% net long and equity long/short sold exposure to 21% from 23% net long. Meanwhile macros “slightly bought” commodities, EAFE and EM exposures and partially covered their shorts in the S&P 500, NASDAQ 100 and 10-year Treasury futures. In addition, macro hedge funds sold U.S. dollars to flat for the first time since last August.

Data from the Commodity Futures Trading Commission shows large equities speculators partially covered the S&P 500, sold NASDAQ 100 and were flat the Russell 2000. The NASDAQ 100, says Bartels, is in a crowded net long

Large agricultural speculators bought soybean and sold corn while adding to their shorts in wheat. Metals speculators bought gold, silver, platinum and palladium while energy specs bought crude, heating oil and gasoline while adding to their natural gas shorts.

As for foreign exchange, Bartels says large speculators partially covered the euro, bought U.S. dollars and aggressively sold yen.

Speculators were aggressive in selling 2-year Treasuries, while adding to their shorts in 30- and 10-year Treasuries

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