BofAML: Hedge Funds Add 1.74% In January

Feb 4 2013 | 10:42am ET

Hedge funds added 1.74% in January, according to the latest Hedge Fund Monitor from the Bank of America Merrill Lynch.

The investable hedge fund composite index trailed the S&P 500, which added 5.04% over the same period.

Event-driven strategies were the best performers, adding 3.27% on the month, followed by equity long/short, up 2.31%. Market neutral funds turned in the worst performance, shedding 0.47%.

According to BofAML analyst Mary Ann Bartels, market neutral funds sold market exposure to 5% from 2% net short while equity long/short funds bought market exposure to 23% from 22% net long, still below the 35-40% benchmark. Macros aggressively bought commodities, lightly bought the S&P 500, sold the NASDAQ 100 & 10-year Treasuries and halved their shorts in U.S. dollar futures. In addition, they bought emerging market exposure to a net long and partially covered EAFE shorts.

Commodity Futures Trading Commission data shows large speculators bought equities across the board last month, including the S&P 500, the NASDAQ 100 and the Russell 2000.

Large agriculture speculators bought soybeans and corn and halved their shorts in wheat while metals specs sold gold into the buy zone, bought platinum and palladium to a crowded long, bought silver and remained flat copper.

Energy speculators bought crude oil, heating oil and gasoline while partially covering natural gas; forex specs bought U.S. dollars and euros while adding to their yen shorts; and interest rate speculators sold 10- and 2-year Treasuries while adding to their 30-year Treasury shorts.

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