BofAML: Hedge Funds Down 1.09% In May

Jun 5 2012 | 1:21pm ET

The Bank of America Merrill Lynch investable hedge fund composite index was down 1.09% month to date as of May 30.

The best-performing strategies of the month were CTAs and macro—up 2.29% and 0.35% on the month. Long/short funds performed worst, losing 3.03% in May.

BofAML analyst Mary Ann Bartels said their models showed that market neutral funds bought market exposure to 17% net long (the highest since October 11). Equity long/short bought market exposure to 43% (above the 35%-40% benchmark level for the first time since last June). Macros sold the S&P 500 and NASDAQ 100, added to their shorts in the 10-year Treasuries as well as emerging markets and Europe, Australia and Southeast Asia bought U.S. dollars to a net long level last seen in February, and sold commodities future to a net short for the first time since March.

Data from the Commodity Futures Trading Commissions showed significant hedge fund moves across various asset classes in May. In equities, says Bartels, large specs sold the NASDAQ 100 and added to shorts in the S&P 500 and the Russell 2000.

In agriculture, large specs sold corn and soybean, but bought wheat to a net long for the first time since last June. Soybean is in a crowded long. In the metals space, speculators sold gold and silver while adding to their shorts in copper, flat platinum and palladium.

Large specs sold crude, heating oil and gasoline but partially covered natural gas in the energy space while in the forex market they bought U.S. dollars and yen while adding to their shorts in the euro.

Speculators bought Treasuries across the board—30-, 10- and 2-years. 10-year Treasuries moved out of a crowded short; net long readings for 30-year Treasuries are the highest since June 2005.


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…