The Bank of America Merrill Lynch investable hedge fund composite index is up 0.66% month-to-date for October, trailing the S&P 500 index which has added 2.3% in the same period.
Equity long/short and equity market neutral were the best performing strategies, adding 1.33% and 1.08%, respectively, month to date.
BofAML analyst MacNeil Curry said market neutral funds increased market exposure to 10% from 5% net long in the monitored period as equity long/short increased market exposure to 29% from 28% net long—below their 35-40% benchmark.
Macros increased their long exposure to the S&P 500 and NASDAQ while reducing their long positions in commodities, the U.S. dollar and 10-year Treasuries. They slightly increased their small cap tilt and, abroad, reduced their EM longs slightly while increasing their EAFE shorts.
Once again, reports Curry, data from the Commodity Futures Trading Commission was delayed by the government shutdown.