Hedge Funds Up 0.94% In May

Jun 3 2013 | 11:52am ET

Hedge funds were up 0.94% for the month, as of May 29, according to the investable hedge fund composite index in the latest Bank of America Merrill Lynch Hedge Fund Monitor.

Convertible arbitrage and event driven funds were the best performers, adding 3.54% and 2.09%, respectively. Macro funds were the worst, shedding 0.75%, which BofAML analyst Stephen Suttmeier says is no surprise, given their recent net short positions in US equities.

Hedge funds continue to trail the S&P, which was up 3.18% over the monitored period.

Suttmeier says macro funds bought risk assets including the S&P 500, NASDAQ 100 and commodities to a net long, and increased EM exposure to the highest level since October 2011. They also bought the US dollar index and T-notes to a net long. Meanwhile, Macros bought EM exposure to the highest since October 2011, while maintaining their net long positions in EAFE.

Commodity Futures Trading Commission data shows large hedge fund equities speculators bought the S&P 500, NASDAQ 100 and Russell 2000 while agriculture speculators bought soybean and corn, and reduced their wheat shorts.

Metals specs sold gold, silver and platinum but were flat palladium copper. Energy specs sold crude oil and gasoline while partially covering their shorts in heating oil and natural gas.
FX speculators remained net long the US dollar while adding to their euro and yen short. Interest rate specs sold Treasuries across the board, leaving them net short 30-, 10- and 2-year T-bills.

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