Hedge Funds Add 1.27% MTD

Jul 23 2013 | 8:25am ET

Hedge funds are up 1.27% month-to-date in July, according to the Bank of America Merrill Lynch's Investable Hedge Fund Composite Index.

Equity long/short and event-driven funds performed best, adding 2.65% and 1.99%, respectively. The worst performers were CTA advisors, losing 0.08%.

BofAML analyst MacNeil Curry said their models indicate market neutral funds reduced market exposure to 11% net long from 12% net long over the monitored period while equity long/short funds increased market exposure to 44% net long from 37%; above the 35-40% benchmark level.

Macro funds reduced their long exposures to the S&P 500 and NASDAQ 100 index, increased their long positions in commodities, slightly bought the U.S. dollar index and added to their 10-year Treasury shorts. Overseas, macros added to their EM longs and maintained their EAFE shorts.

Commodity Futures Exchange Commission data for the monitored period shows large equities speculators increased their net longs in the S&P 500, NASDAQ 100 and Russell 2000 while agriculture speculators bought soybean and corn and partially covered wheat.

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

FX speculators partially covered their euro shorts, were flat the U.S. dollar index and added to their yen shorts while interest rate specs sold 2-year Treasuries, added to their 30-year Treasury shorts and bought 10-year treasuries.


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