Hedge Funds Add 0.19% MTD

Nov 11 2013 | 10:09am ET

Hedge funds were up 0.19% in the first week of November, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Equity market neutral and convertible arbitrage were the best-performing strategies adding 0.38% and 0.10%, respectively. Macro funds were the worst performers, shedding 0.65%.

BofAML analyst MacNeil Curry said market neutral funds reduced market exposure to 2% net short from 7% net long during the monitored period while equity long/short funds reduced market exposure from 23% net long to 18% net long, below the 35-40% benchmark.

Macro funds maintained their long exposure to the S&P 500 while reducing their NASDAQ exposures. They also increased their U.S. dollar and 10-year Treasury shorts, aggressively increased their commodity exposures and, overseas, turned their short EM exposures to net longs.  

According to Commodity Futures Trading Commission data, large equities speculators marginally reduced their S&P 500 longs and Russell 2000 shorts while upping their NASDAQ longs.

Agriculture specs reduced their soybean and wheat shorts but cut their corn shorts.

Large metals speculators sold gold, maintained their silver longs and copper shorts, increased their platinum longs and maintained their palladium longs. 
Energy speculators reduced their crude and RBOB longs while increasing their natural gas and heating oil shorts.

FX specs sharply reduced their euro longs, increased their yen shorts, shorted the pound and maintained a small long position in the Mexican peso.

Interest rate specs sharply increased their 10-year and 30-year Treasury shorts and flipped from short to long 2-year Treasuries.

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