BofAML: Hedge Funds Fully Invested In Q4

Mar 12 2013 | 1:49pm ET

Hedge funds were fully invested, with cash levels down to 4.6% in Q4 2012, according to the latest Bank of America Merrill Lynch Hedge Funds Monitor.

Facebook and Citigroup were hedgies' favorite stocks in the fourth quarter, while Apple and Tyco International were the most sold.

The investable hedge fund composite index was up 0.44% during the first week of March, led by long/short equity strategies, up 0.71%. Market neutral funds were the worst performers, shedding 0.20% over the monitored period.

According to BofAML analyst Mary Ann Bartels, market neutral funds aggressively bought market exposure to 9% net long, similar to their early January positioning. Equity long/short bought market exposure to 35% net long from 33% net long, within the 35-40% benchmark. Macros aggressively sold 10-year Treasuries, sold the S&P 500, NASDAQ 100 and commodities, and partially covered their U.S. dollar shorts. In addition, they continued to add to their shorts in both EM and EAFE.

Commodity Futures Trading Commission data showed large speculators aggressively bought S&P 500 futures, bought the Russell 2000 and NASDAQ 100.

Agricultural speculators bought corn while remaining essentially flat soybean and wheat. Metals specs sold gold, silver and platinum; added to their copper shorts and remained flat platinum. Energy speculators sold crude and heating oil but were flat natural gas and gasoline.

Forex speculators bought U.S. dollars and added to their shorts in euros and yen. Large rate specs partially covered their shorts in 10-year Treasuries, bought 2-year Treasuries and sold 10-year Treasuries out of a crowded long.


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