BofAML Hedge Fund Index Falls 0.30% In April

May 1 2012 | 8:11am ET

The Bank of America Merrill Lynch investable hedge fund composite index slipped 0.30% month-to-date as of April 25.

Hedge funds did better than the S&P 500, which fell 1.26% in the same period.

The best-performing hedge fund strategies were basically flat in April: merger arbitrage, up 0.08% and macro, up 0.07%. Event driven strategies posted the biggest losses for the month, slipping 0.73%.

BofAML analyst Mary Ann Bartels says their models show market neutral funds maintained market exposure at 6% net long over the monitored period, while equity long/short    continued to sell market exposure to 28% from 31% net long. Macros bought the NASDAQ 100, increased EM and EAFE exposures, remained flat the U.S. dollar and sold the S&P 500, commodities and 10-year Treasuries.

According to Commodity Futures Trading Commission data, large speculators sold the NASDAQ 100 while adding to their shorts in the S&P 500 and Russell 2000.

Large speculators bought soybean, sold corn and partially covered wheat. Soybean is in a crowded long; wheat is in a crowded net short.

Large specs bought copper and palladium and sold gold, silver and platinum. They sold gasoline, crude and heating oil, and partially covered natural gas.

In the foreign exchange market, speculators partially covered euro and yen, while selling the U.S. dollar. Large specs added to their shorts in the 30-year Treasuries, while buying 10-year and 2-year Treasures.


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