BofAML: Hedge Funds Up 0.29%

Jul 17 2012 | 12:21pm ET

Hedge funds were up 0.29% last week, according to the Bank of America Merrill Lynch investable composite index.

Hedge funds trailed the S&P 500, which had added 2.37% as of July 11. CTA advisors (up 1.88%) and macros (up 1.23%) were the best performing strategies in the monitored period while equity long/short (down 0.54%) was the worst.

BofAML analyst Mary Ann Bartels says market neutral funds bought market exposure to 4% from 3% net long while equity long/short maintained  market exposure at 23% net long, well below the 35-40% benchmark level. 

Macros added to their shorts in the S&P 500 and NASDAQ 100, partially  covered commodities and 10-year Treasuries, neutralized EM exposure, while selling U.S. dollars and EAFE, says Bartels. In addition, macros maintained their large-cap preference.

Data from the Commodity Futures Trading Commission shows large speculators partially covered the Russell 2000, sold the NASDAQ 100 and added to their shorts in the S&P 500.

Agricultural speculators bought soybeans, corn and wheat; metals speculators sold gold, silver and platinum; energy speculators (marginally) bought crude oil and gasoline; and forex specs bought U.S. dollars and yen while adding to their euro shorts. Interest rate speculators bought 30- and 2-year Treasuries while covering 10-year Treasuries.



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