Bank of America Merrill Lynch’s investable hedge fund composite index was down 0.16% for the month, as of June 20, trailing the S&P 500 which was up 3.46%.
Merger arbitrage funds (up 0.29%) and long/short (up 0.20%) were the best performers for June, while CTA Advisors (down 2.60%) were the worst.
BofAML analyst Mary Ann Bartels says their models show market neutral funds cut net market exposure from 12% to 1% net long while equity long short funds sold market exposure from 30% to 26% net long. Macros partially added to their shorts in the S&P 500, NASDAQ 100, EM, EAFE, commodities and 10-year Treasuries futures while continuing to buy U.S. dollars.
Based on data from the Commodity Futures Trading Commission, Bartels says large speculators this past month bought NASDAQ 100 while partially covering the S&P 500 and Russell 2000.
Agricultural speculators bought corn, added to shorts in wheat, and were flat soybean, which remains in a crowded net long. Metals speculators bought gold, platinum and palladium and were flat silver and copper.
Large speculators in the energy market sold crude oil, bought heating oil and gasoline and added to their shorts in natural gas. Forex specs bought the yen, sold the dollar and partially covered the euro. In the interest rate space, speculators sold 30- and 2-year Treasuries while partially covering 10-year Treasuries.