Hedge Funds Slip 0.94% In August

Sep 3 2013 | 9:20am ET

The Bank of America Merrill Lynch investable Hedge Fund Composite Index was down 0.94% for the month, as of August 28, bettering the S&P 500 which was down 4.3%.

BofAML analyst MacNeil Curry said their models indicate market neutral funds increased market exposure to 12% net long from 9% net long while equity long/short funds reduced market exposure to 30% from 34% net long; slightly below the 35-40% benchmark level.

Macros increased their long exposure to the S&P 500 and NASDAQ 100 and neutralized their small net-short commodities exposure. In addition, they sold the U.S. dollar index, reduced their 10-year Treasury shorts and increased their large-cap preference. Overseas, they reduced exposure to EAFE to a net short. 

Commodity Futures Trading Commission data shows large equities speculators reduced their net longs in the S&P 500 and NASDAQ 100, but increased their longs in the Russell 2000.

Agriculture specs sharply increased their long positions in soybeans and marginally reduced their corn shorts while metals specs bought gold, platinum and palladium but reduced silver longs and returned to shorting copper. Energy specs bought WTI crude oil, heating oil and gasoline and increased their natural gas shorts.

Large FX speculators bought the euro, reduced their British pound shorts and increased their yen and Australian dollar shorts while interest rate specs flipped from net long to net short 30-year bond futures, aggressively increased their 10-year note shorts and marginally reduced their 2-year notes longs.


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