BofAML: Hedge Funds Up 0.25% Mid-Aug

Aug 22 2012 | 9:32am ET

Bank of America Merrill Lynch’s investable hedge funds index is up 0.25% month-to-date.

The best performers, as of August 15, were equity long/short funds, up 1.05% while the worst performers were CTAs, which were flat.

BofAML analyst Mary Ann Bartels says market neutral funds bought market exposure to 2% from 0.5% net long during the monitored period while equity long/short increased market exposure to 28% from 26% net long. Macros continued to cover the S&P 500 and 10-year T-notes while buying U.S. dollars, increasing EM and EAFE exposures, partially covering their shorts in NASDAQ and buying commodities to a slight net long. Macros switched to favor large-cap stocks last week. 

A look at data from the Commodity Futures Trading Commission shows large speculators were selling the S&P 500, buying the NASDAQ 100 and adding to their shorts in the Russell 2000.

Agricultural speculators bought soybeans and corn but sold wheat. Metals speculators bought silver and sold gold while remaining flat copper, platinum and palladium. Energy specs sold crude, partially covered natural gas and bought heating oil and gasoline.

Forex speculators added to their shorts in euro, were flat U.S. dollars and bought the yen. Large speculators sold 30- and 2-yr Treasuries while buying 10-year Treasuries.

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