BofAML: Hedge Funds Up 0.17%

Sep 4 2012 | 12:27pm ET

Hedge funds were up 0.17% month-to-date as of August 29, according to the Bank of America Merrill Lynch investable hedge fund composite index.

The best-performing strategies were event-driven and equity long/short, up 0.87% and 0.76%, respectively during the monitored period. CTAs trailed the pack, according to the latest BofAML Hedge Fund Monitor, losing 1.44%.

Analyst Mary Ann Bartels says their models show market neutral funds sold market exposure to a negative 0.5% net short from 0.4% net long, while equity long/short funds sold market exposure to 19% from 24% net long. Macros bought the S&P 500 to a net long for the first time since June, covering their shorts in the NASDAQ 100, 10-year Treasuries and commodities while selling U.S. dollars, EM and EAFE. Macros also maintained their preference for large-caps.

Bartels says Commodity Futures Trading Commission data for the monitored period shows large speculators bought the NASDAQ 100, partially covered their shorts in the S&P 500 and Russell 2000.

Agricultural speculators sold soybeans corn and wheat while large metals speculators bought everything—gold, silver, copper, platinum and palladium. Energy specs bought crude, added to their natural gas shorts and were essentially flat gasoline and heating oil.

Foreign exchange speculators partially covered the euro, bought yen and sold U.S. dollars and interest rate specs sold Treasuries across the board.


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