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.

 


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