Hedge Funds Lose 0.50% In First Week Of Oct

Oct 15 2013 | 9:43am ET

Hedge funds lost some ground during the first week of October, shedding 0.50% according to the Bank of America Merrill Lynch investable hedge fund composite index.

Equity market neutral and convertible arbitrage funds were the best performers over the monitored period, although that's not saying much—they were up 0.03% and 0.02%, respectively. CTAs performed worst, losing 1.29%.

BofAML analyst MacNeil Curry said market neutral funds increased their market exposure to 5% net long from 0% net long while long/short funds reduced their market exposure to 28% net long from 36% net long, below the 35-40% benchmark level.

Macros reduced their long exposure to the S&P 500 slightly, increased their NASDAQ longs, reduced their long positions in commodities and 10-year Treasuries and increased their small cap tilt. Overseas, they reduced their EM exposures and their EAFE shorts.  

Curry was unable to analyze Commodity Future Tradings Commission data which has been delayed for a second week by the U.S. government shutdown.


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