Hedge Funds Slip 1.03% MTD

Jun 24 2013 | 2:32pm ET

The Investable Hedge Fund Composite Index was down 1.03% for the month as of June 19, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor

Convertible arbitrage and merger arbitrage funds performed best, the former adding 0.19%, the latter falling only 0.04% according to BofAML analyst Stephen Suttmeier. Managed futures were the worst performers, shedding 2.36%.

Suttmeier said BofAML models indicate market neutral funds increased their market exposure to 3% net long from 5% net short during the monitored period while equity long/short funds raised market exposure to 23% net long from 18%—still below the 35-40% benchmark level.

Macro funds slightly reduced their long exposures to the S&P 500, NASDAQ 100 and commodities, while selling US dollar index and buying 10-year Treasuries. Overseas, they increased EAFE long exposure, but reduced EM exposure, said Suttmeier.

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

Large agriculture specs sold soybean and corn, while continuing to add to their shorts in wheat while metals specs sold gold, platinum and palladium; were flat silver; and added to their copper shorts.

Energy speculators bought crude oil and gasoline and added to their shorts in natural gas but partially covered heating oil. Foreign exchange specs sold US dollars, partially covered yen and aggressively bought euros to a net long.

Interest rate speculators bought 30-, 10- and 2-year Treasuries.

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