BofAML: Hedge Funds Up 0.35% MTD

Sep 17 2012 | 12:37pm ET

Hedge funds were up 0.35% month to date as of September 12, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Month-to-date, five of the seven strategies followed by BofAML were in the red, the worst performers being convertible arbitrage funds (down 0.68%) and CTAs (down 0.57%). The best performers were event-driven funds (up 0.64% MTD) and equity long/short (up 0.62%).

BofAML analyst Mary Ann Bartels says market neutral funds sold market exposure further to 8% net short from 5% net short in the monitored period while equity long/short funds sold market exposure to 17% from 19% net long. This last was well below the 35-40% benchmark level, she said,reminding readers their models are lagged by four weeks. Macros continued to buy the S&P 500 and NASDAQ 100, but sold commodities, reduced EM and EAFE exposure, added to their 10-year T-bill shorts and sold U.S. dollars to a net short for the first time since June.

Commodity Futures Trading Commission data showed large equities speculators buying the S&P 500, remaining flat the NASDAQ 100 and partially covering the Russell 2000 while agriculture speculators sold everything—soybeans, corn and wheat.

Metal specs bought gold, silver, copper, platinum and paladium while energy speculators bought crude and gasoline, sold heating oil and added to their natural gas shorts.

Large foreign exchange speculators bought yen and dollars and partially covered the euro out of a crowded short for the first time since November 2011. Meanwhile, interest rate specs bought 30-year T-bills while selling the 10- and 2-year variety.

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