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

Financial Industry Blockchain Consortium R3 To Open-Source Platform Code

Oct 20 2016 | 9:03pm ET

Bitcoin's blockchain technology has spawned a flurry of activity among fintech startups...


U.S. Trust's Beard: The Rapid Growth of the Art Lending Industry

Oct 7 2016 | 10:55pm ET

Alternative investment managers have emerged as some of the most significant art...

Guest Contributor

Hedge Fund Marketing – Tips for Your Initial Sales Meeting

Sep 29 2016 | 5:46pm ET

There are two main goals a hedge fund should have for an initial in-person sales...