BofAML: Hedge Funds Shed 0.6% In August

Sep 17 2013 | 10:26am ET

Hedge funds lost 0.60% for August but still managed to outperform the S&P 500 which shed 3.1%, according to the latest Hedge Fund Monitor from Bank of America Merrill Lynch.

Dedicated short bias funds performed best last month, adding 0.41% while equity long/short funds performed worst, losing 1.1%.

BofAML analyst MacNeil Curry said market neutral funds reduced market exposure to 14% net long from 19% net long during the monitored period while equity long/short increased market exposure to 36% from 35% net long; in line with the 35-40% benchmark level.

Macro funds increased their long exposure to the S&P 500 and NASDAQ and reduced their long positions in commodities. In addition, they reduced their long positions in US dollar index and reduced their short position in 10-year Treasuries. Finally, they increased their small-cap preference. Overseas, they reduced exposure to EM and increased their EAFE shorts.  

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

Agriculture specs sold grains, decreased soybean longs and increased corn and wheat shorts while metals specs increased silver longs, reduced their gold and platinum group longs and increased their copper shorts.

Energy speculators reduced their WTI crude oil and RBOB longs but increased their heating oil longs and natural gas shorts.

FX specs reduced their euro longs but increased their peso and dollar index longs. They increased their yen shorts, but reduced their British pound and Aussie dollar shorts.

Interest rate speculators flipped from short to long 30-year bond futures, reduced their 10-year note shorts and went short 2-year notes.


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