Hedge Funds Start May With 0.93% Gain

May 14 2013 | 10:21am ET

Hedge funds got off to a good start in May, with the investable hedge fund composite index up 0.93% in the first week, according to the Bank of America Merrill Lynch Hedge Fund Monitor.

Convertible arbitrage and event-driven strategies performed the best, up 1.29% and 1.19% respectively. Market neutral funds performed worst, shedding 0.42% as of May 8.

BofAML analyst Stephen Suttmeier said their models indicated market neutral funds increased market exposure to 11% from 10% net long while equity long/short funds increased market exposure to 42% from 41% net long, remaining above the 35-40% benchmark level.

Macro funds added to their S&P 500 and T-note shorts, maintained their shorts in the NASDAQ 100, and marginally reduced their commodity shorts and US dollar index longs. Meanwhile, they remain indecisive about EM but continue to build their long EAFE exposures.

A look at Commodity Futures Trading Commission data for the monitored period shows large speculators sold the S&P 500 and Russell 2000, but bought the NASDAQ 100.

Agriculture specs sold soybeans, bought corn and added to their wheat shorts while metals specs sold gold, marginally sold platinum and palladium, bought silver and partially covered their copper shorts.

Energy specs bought crude oil, marginally added to heating oil shorts, were flat gasoline and continued to unwind their natural gas shorts.

Foreign exchange speculators added to their euro and yen shorts but reduced their US dollar index longs and interest rate specs aggressively reduced their 30- and 10- year Treasuries from a crowded net long, and continued to unwind their 2-year Treasury longs.
 


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