Hedge Funds Add 1.18% In October

Nov 4 2013 | 11:40am ET

Hedge fund were up 1.18% in October, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Equity long/short and event-driven funds were the best performers last month, adding 1.91% and 1.47%, respectively. Convertible arbitrage strategies, which performed worst, were still in positive territory, adding 0.16%.

BofAML analyst MacNeil Curry said market neutral funds decreased exposure to 7% from 10% net long while equity long/short funds reduced market exposure to 23% from 30% net long; below the 35-40% benchmark level.

Macros decreased their long exposure to the S&P 500 and NASDAQ indexes. In addition, they maintained their U.S. dollar and 10-year Treasury shorts while adding slightly to their commodity shorts. Macro funds maintained their small cap tilts.  

Data from the Commodity Futures Trading Commission shows large equities speculators reduced their net S&P 500 and NASDAQ longs while neutralizing their Russell 2000 longs to a net short.

Large agriculture specs sharply increased their soybean longs and and their corn and wheat shorts while metals specs sold gold, bought silver, reduced platinum longs, maintained palladium longs and added to copper shorts.

Energy specs bought WTI crude oil, heating oil and gasoline as they reduced their natural gas shorts.

FX specs bought the euro and pound, reduced their yen and Australian dollar shorts and left their Mexican peso longs largely unchanged with slight selling. Interest rate speculators increased their 30-year bond futures longs while adding massively to their 10-year note shorts and increasing their 2-year Treasury shorts.
 
 


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Editor's Note