Hedge Funds Across Strategies Reduce Market Exposure

Jun 10 2013 | 12:24pm ET

Market neutral, equity long/short and macro hedge funds all reduced their market exposure in May, as hedge funds gained 0.38% on average, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor.

Event driven and equity long/short funds were the best performers in May, adding 2.06% and 1.08%, respectively. Managed futures, down 2.96%, was the worst-performing strategy.

BofAML analyst Stephen Suttmeier says their models show market neutral funds reduced market exposure from 6% net short to 9% net short while equity long/short funds cut market exposure more aggressively, to 21% net long from 32%, well below the 35-40% benchmark level. Macros reduced their long positions in the S&P 500 and NASDAQ 100, but leaned further toward large caps. They increased their long exposure to commodities, EAFE, and EM, putting EM at its highest exposure since October 2011. Macros aggressively added to their long Treasury and US dollar index positions.  

Data from the Commodity Futures Trading Commission shows equity speculators sold the S&P 500, NASDAQ 100 and Russell 2000 while agriculture speculators bought soybean, sold corn and reduced their wheat shorts.

Metals specs bought gold, silver, platinum and palladium while partially covering copper. Energy specs sold crude oil and gasoline and added to their heating oil shorts but partially covered their natural gas shorts.

FX specs reduced their net long positions in the US dollar index, while covering their euro and yen shorts. Interest rate specs bought 30- and 10-year Treasuries to a net long, but doubled their shorts in 2-year T-notes.


In Depth

'Smart Beta' Funds In Regulators' Sights, Hedgies May Be Next

Mar 26 2015 | 11:11am ET

Funds that mimic strategies used by active managers for a fraction of the cost could...

Lifestyle

Study: Both Marriage and Divorce Lead to Negative Hedge Fund Performance

Mar 25 2015 | 6:51pm ET

Trouble at home leads to trouble in the market for fund managers, according to researchers...

Guest Contributor

Concerned About Your HFT Exposure? Hedge It!

Mar 26 2015 | 1:06pm ET

High-frequency trading has been a persistent storyline for several years. The trading...

 

Sponsored Content

    Mar 9 2015 | 6:35am ET

    Kelly RodriquesKelly RodriquesAs more investors look to diversify, many are beginning to use retirement funds to invest in alternative assets such as private equity and real estate. Kelly Rodriques, CEO & President of PENSCO Trust Company, explains how companies can connect with those looking to use their retirement accounts in a different way. Read more…

Editor's Note