BofAML Index Rises 0.14% In March

Mar 26 2012 | 12:45pm ET

Hedge funds were up 0.14% as of March 21, according to the Bank of America Merrill Lynch investable composite index, with event driven funds leading the way.

Event-driven funds were up 0.57% for the month followed by merger arbitrage funds, up 0.43%.

The worst performers were market neutral funds, down 1.19%.

According to BofAML analyst Mary Ann Bartels, market neutral funds sold market exposure to neutral from 3% net long and equity long/short funds bought market exposure to 31% from 23% net long. Macros bought the S&P 500, commodities, U.S. dollars, 10-year Treasuries and emerging market futures, while slightly selling NASDAQ 100 and Europe, Australia and Southeast Asia exposures.

Based on Commodity Futures Trading Commission data, Bartels says large speculators sold equities across the board—the S&P 500, NASDAQ 100 and Russell 2000—during the monitored period.

In agriculture, large specs bought soybean and corn, and partially covered wheat. Soybean moved into a crowded long; wheat is in a crowded net short. In metals, speculators sold gold, silver, platinum and palladium and bought copper.

Energy speculators sold crude and gasoline while buying heating oil and natural gas. Bartels says heating oil and crude are in a crowded long. Forex speculators bought U.S. dollars while covering euro and yen.

Large speculators aggressively added to their shorts in 10-year and  30-year Treasuries, while selling 2-year Treasuries to a net short for the first time since June  2011.

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