Hedge Funds Gain 0.24% In First Week Of August

Aug 12 2013 | 12:59pm ET

Hedge funds were up 0.24% for the first week of August, according to the Bank of America Merrill Lynch Investable Hedge Fund Composite Index.

Convertible arbitrage and equity long/short funds were the best performers, adding 0.41% and 0.31%, respectively. Market neutral strategies performed worst, falling 0.36%.

BofAML analyst MacNeil Curry said their models showed market neutral funds raised market exposure to 6% net long from 5% net long during the monitored period. Equity long/short funds also increased market exposure—to 40% from 38% net long in line with the 35-40% benchmark level.

Macros bought the S&P 500 and slightly increased their NASDAQ 100 longs but reduced their long positions in commodities. In addition, they sold the U.S. dollar index out of a crowded long, and partially covered their 10-year Treasury shorts. Overseas, they increased both EM and EAFE exposures.

Data from the Commodity Futures Trading Commission showed large equities speculators marginally increased their net long positions in the S&P 500 and NASDAQ 100 but reduced their longs in the Russell 2000.

Agriculture specs sold soybeans, marginally covered corn shorts and were flat wheat while metals specs aggressively bought gold, bought platinum and palladium, were flat silver and partially covered copper shorts.  

Large energy speculators bought heating oil, marginally bought crude oil, sold gasoline and added to their shorts in natural gas.

FX specs bought the euro aggressively to a net long, remained flat the U.S. dollar and marginally covered their yen shorts. Interest rate speculators bought 2-year notes, aggressively sold 10-year Treasuries to a net short and halved their 30-year Treasury shorts.


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Editor's Note