BofAML Hedge Fund Index Up 0.15%

May 8 2012 | 9:22am ET

The Bank of America Merrill Lynch investable hedge fund composite index was up 0.15% quarter to date, as of May 2, outperforming the S&P 500 which was down 0.44%.

Macro strategies were the best performers in the monitored period, adding 0.66%. Market neutral funds trailed the pack, shedding 1.60%.

Mary Ann Bartels, an analyst with BofAML, says their models indicate that market neutral funds sold market exposure to 1% net short from 6% net long, the first time they’ve been net short since February. Equity long/short also sold market exposure to 21% from 28% net long. Macros sold the S&P 500, NASDAQ 100 and commodities, reduced emerging market and Europe, Australasia and Far East exposures, covered U.S. dollars and bought 10-year Treasuries.

Bartels says data from the Commodity Futures Trading Commission shows large speculators selling the NASDAQ 100 while covering their shorts in the S&P 500 and Russell 2000.

In agriculture, large specs bought soybean and corn and partially covered wheat, leaving soybean in a crowded long and wheat in a crowded net short.

In metals, large specs bought gold, copper, platinum and palladium, while selling silver; in energy, they bought crude, heating oil and gasoline, while adding to their shorts in natural gas.

On the foreign exchange front, speculators partially covered the euro and yen, while selling U.S. dollars and in interest rates, they added to their shorts in 30-year Treasuries while buying 10- and 2-year Treasuries.


In Depth

Related-Company Fees: Normal Industry Practice or Conflicted Compensation?

Nov 11 2015 | 4:23pm ET

Regulatory agencies as well as investors are increasingly exploring whether certain...


Ferrari Roars in Wall Street Debut

Oct 21 2015 | 4:28pm ET

Shares of supercar maker Ferrari jumped as much as 15 percent to a high of nearly...

Guest Contributor

Private Debt - What is the Opportunity?

Nov 11 2015 | 3:28pm ET

In this contributed article, Rob Allard, founding partner of Firebreak Capital...


Editor's Note

    Oct 21 2015 | 10:41am ET

    One of the most unique charity benefits in the hedge fund industry, A Leg To Stand On's (ALTSO's) Hedge Fund Rocktoberfest - NYC, raised nearly $500,000 last Thursday thanks to the generous support of major sponsors and nearly 1,400 attendees from the Tri-State finance, business and hedge fund communities. Read more…