Hedge Funds Add 0.13% In Q2

Jul 9 2013 | 9:34am ET

The global diversified hedge fund index was up 0.13% in Q2 2013, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor.

Short biased funds were the best performers in June, adding 0.97%, followed by equity market neutral funds, up 0.13%. Managed futures turned in the worst performance of the month, falling 3.41%.

BofAML analyst MacNeil Curry said their models indicated that market neutral funds increased market exposure to 14% net long from 11% net long during the monitored period while equity long/short raised market exposure to 37% net long from 28%; returning to their 35-40% benchmark level.

Macro funds increased their long exposures to the S&P 500, NASDAQ 100 index and commodities, while continuing to reduce their exposure to 10-year Treasuries and the US dollar index from a crowded long. Overseas, they reduced EM longs and partially covered their shorts in the EAFE markets.

Commodity Futures Trading Commission data reveals large equities speculators doubled their net long in the Russell 2000 and were essentially flat the S&P and NASDAQ 100.

Large agriculture specs reduced soybean longs, aggressively reduced corn longs and added to wheat shorts while metals specs sold gold, bought silver, partially covered copper shorts and were flat platinum and palladium.

Energy specs bought crude oil, partially covered natural gas and heating oil and were essentially flat gasoline.

FX specs sold euros, bought the US dollar index, and added to their yen shorts as interest rate specs bought 2-year Treasuries, partially covered 30-year Treasury shorts and sold 10-year Treasuries.  


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