BofAML Investable HF Index Falls 0.28% In April

Apr 24 2012 | 8:27am ET

The Bank of America Merrill Lynch investable hedge fund composite index was down 0.28% as of April 18.

The monthly result is better than that of the S&P 500, which was down 1.66% for the same period.

Merger arbitrage and convertible arbitrage were the best-performing strategies in April, up 0.13% and 0.06%, respectively. The worst performers were event driven funds, down 0.64%.

In the latest BofAML Hedge Fund Monitor, analyst Mary Ann Bartels says their models indicate that market neutral funds bought market exposure to 6% from 4% net long while equity long/short sold market exposure to 31% from 34% net long during the monitored period. Macros bought the S&P 500, NASDAQ 100 and 10-year Treasuries along with emerging market and EAFE exposures and sold commodities, while partially covering U.S. dollars.

Data from the Commodity Futures Trading Commission shows that large speculators in April bought the NASDAQ 100 while covering the S&P 500 and Russell 2000.

Large speculators marginally bought soybean, while selling corn and wheat, leaving soybean is in a crowded long. On the metals front, they bought gold and copper, were flat silver and palladium and sold platinum.

Speculators bought crude and heating oil, partially covered natural gas, and sold gasoline. On the foreign exchange front, they sold euros and U.S. dollars. Large speculators partially covered 30-year and 10-year Treasuries, and bought 2-year Treasuries to a net long.



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