Hedge Funds Slip 0.40% In June

Jun 18 2012 | 3:24pm ET

Hedge funds shed 0.40% month to date as of June 13, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Hedge funds trailed the S&P 500 which managed to eke out a 0.35% gain.

All strategies tracked by BofAML lost ground this month, led by CTA advisors which lost 1.82%. The best performers were convertible arbitrage (down 0.11%) and merger arbitrage (down 0.17%).

Analyst Mary Ann Bartels says their models show market neutral hedge funds held market exposure steady at 12% net long during the monitored period. Equity long/short funds sold market exposure to 30% from 36% net long. Macros partially covered their shorts in the S&P 500, NASDAQ 10 and commodities, she said, but sold emerging market and Europe, Australia and Southeast Asia back to a net short. Bartels said they also continued to short 10-year Treasuries while buying U.S. dollars.

Large speculators sold the NASDAQ 100 and added to shorts in the S&P 500 but partially covered the Russell 2000, said Bartels.

In agriculture, speculators bought soybean and corn but were flat wheat. In the metals market, specs bought gold, platinum and palladium; partially covered  copper; and were flat silver.

In the energy space, large speculators sold crude and gasoline, sold heating oil and were flat  natural gas. Forex speculators bought U.S. dollars, were flat the yen and partially covered the euro.

Interest rate speculators sold 10- and 2-year Treasuries while buying 30-year Treasuries, which are in a crowded net long level not seen since 2005.

 

 


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