Hedge Funds Up 1.1% To Date In Q4

Nov 25 2013 | 1:47pm ET

Hedge funds have added 1.1% to date this quarter, according to the Bank of America Merrill Lynch investable hedge fund composite index.

Equity market neutral and long/short funds performed best during the monitored period, both adding 2.06%. Convertible arbitrage funds were the worst performers, falling 0.89%.

BofAML analyst MacNeil Curry said market neutral funds reduced market exposure to 3% net short from 8% net short over the monitored period while equity long/short funds reduced market exposure to 10% net long from 14% net long; below their 35-40% benchmark.

Macros further reduced their long exposure to the S&P500 and the NASDAQ, reduced their short exposure to the U.S. dollar, maintained their short exposure to 10-year Treasuries, increased commodity exposure and reduced their preference for small cap. Overseas, they increased their long EM exposure.

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

Agriculture specs increased their soybean longs and their wheat shorts while reducing their corn shorts. Metals specs reduced their gold and silver longs, increased their copper shorts and cut their palladium and platinum longs.

arge energy speculators slightly increased their crude and RBOB longs while reducing their natural gas and heating oil shorts.

FX specs reduced their euro longs, increased their yen shorts, reduced their British pound shorts and maintained a small Mexican peso long.

Interest rate specs slightly reduced their 10-year Treasury shorts, reduced their 30-year longs to a net short and increased their 2-year longs.


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Editor's Note