Hedge Funds Down 0.57% MTD

Aug 27 2013 | 8:49am ET

The Bank of America Merrill Lynch investable hedge fund composite index was down 0.57% for the month, as of August 21, bettering the S&P 500 which was down 3.6%.

Convertible arbitrage was the best performing strategy, adding 0.16% in the monitored period while equity long/short performed the worst, falling 0.93%.

BofAML analyst MacNeil Curry said their models indicated that market neutral funds had decreased market exposure to 9% net long from 15% net long as of August 21 and equity long/short funds had reduced market exposure to 34% from 42% net long, slightly below the 35-40% benchmark level.

Macros increased their long exposure to the S&P 500 and the NASDAQ 100 while aggressively reducing commodity exposure to a new net short. In addition, they sold the U.S. dollar index and increased their 10-year Treasury shorts. Finally, they increased their small cap preference. Overseas, they reduced exposure to EAFE and turned net short EM.  

Data from the Commodity Futures Trading Commission showed large speculators reduced their net longs in the S&P 500, NASDAQ 100, and Russell 2000 indexes.
 
Large agriculture specs sharply increased their long positions in soybeans and marginally reduced their corn shorts while metals specs bought metals across the board, particularly silver and gold. Energy speculators bought heating oil and gasoline and sold WTI crude and natural gas.
 
FX specs bought the Mexican peso; aggressively bought the euro; covered their yen, Australian dollar and British pound shorts; and reduced their US dollar index longs. Large interest rate speculators flipped from net short to net long 30-year bond futures and aggressively reduced their 10-year note shorts while marginally reducing their 2-year note longs.


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Editor's Note