BofAML: Hedge Funds Up 1.30% QTD

Sep 10 2012 | 12:27pm ET

Hedge funds were up 1.30% quarter to date as of September 5, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Equity long/short and convertible arbitrage funds were the best performers, adding 1.66% and 1.61% on the quarter, respectively. Merger arbitrage funds turned in the worst performance of the monitored period, shedding 0.34%.

BofAML analyst Mary Ann Bartels says market neutral funds sold market exposure further to 5% net short from 0.5% net short during the monitored period while equity long/short funds held market exposure steady at 19% net long. Macros bought the NASDAQ 100 to a net long for the first time since June, continued to buy the S&P 500 and commodities, increased EM and EAFE exposures and sold U.S. dollars and 10-year Treasuries. Macros also reduced their large-cap preference, says Bartels.

A look at Commodity Futures Trading Commission data reveals that large equities speculators bought the NASDAQ 100 and the Russell 2000 while adding to their shorts in the S&P 500.

Agriculture speculators bought everything—soybeans, corn and wheat—while metals speculators bought gold, silver and platinum; sold copper; and held palladium steady. Energy specs bought heating oil, sold crude and gasoline and added to their shorts in natural gas.

Large forex speculators added to their shorts in euro, bought yen, and sold U.S. dollars as interest rate specs bought 30-, 10- and 2-year Treasuries.


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