Saturday, 6 February 2016
Last updated 22 hours ago
Aug 7 2012 | 11:37am ET
The Bank of America Merrill Lynch investable hedge fund composite index was up 0.06% as of August 1, trailing the S&P 500 which added 2.80% during the same period.
Long/short funds were the best performers, according to BofAML analyst Mary Ann Bartels, adding 0.52% while CTAs were the worst, shedding 0.71%.
Bartels, in the latest BofAML Hedge Fund Monitor, says market neutral funds’ market exposure fell to a negative 2% from 5% net long as equity long/short funds decreased market exposure to 24% from 26% net long (well below the 35-40% benchmark level).
Commodity Futures Trading Commission data shows large speculators last week were covering the S&P 500, buying the NASDAQ 100 aggressively and covering the Russell 2000, says Bartels.
Agricultural speculators bought corn and sold soybeans and wheat; metals speculators bought gold, silver, platinum and palladium; and energy specs sold crude oil, shorted natural gas and covered heating oil.
Forex speculators bought the euro, aggressively bought the yen and sold U.S. dollars. Interest rate speculators sold 30-year Treasuries and bought 10- and 2-year Treasuries.