Hedge Funds Add 0.3% In November

Dec 3 2013 | 12:23pm ET

The Bank of America Merrill Lynch investable hedge fund composite index squeaked up 0.3% for November, underperforming the S&P 500.

Equity market neutral and long/short funds were the best performers last month, adding 0.90% and 0.73%, respectively. Convertible arbitrage strategies performed worst, shedding 1.11%.

According to BofAML analyst MacNeil Curry, market neutral funds reduced their market exposure to 7% net short from 3% net short over the monitored period while equity long/short funds increased their market exposure to 18% from 10% net long; below their 35-40% benchmark.

Macros reduced their S&P500 long exposur while maintaining their NASDAQ long exposure. They maintained their U.S. dollar short exposure while increasing their short exposure to 10-year Treasuries. In addition, they increased commodity exposure and reduced their preference for small cap. Overseas, macros maintained their long EM exposure.

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

Agriculture specs increased their soy longs and their corn and wheat shorts while metals specs reduced their gold and silver longs, increased their copper shorts and reduced their long exposures to palladium and platinum.

Energy specs trimmed their crude longs slightly while increasing their RBOB longs and their natural gas shorts.

Large foreign exchange speculators reduced their euro longs, increased their yen shorts, cut their British pound shorts and maintained a small long position in Mexican pesos.

Interest rate specs reduced their 10-yr Treasury shorts while increasing their 30- and 2-year longs.


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    One of the most unique charity benefits in the hedge fund industry, A Leg To Stand On's (ALTSO's) Hedge Fund Rocktoberfest - NYC, raised nearly $500,000 last Thursday thanks to the generous support of major sponsors and nearly 1,400 attendees from the Tri-State finance, business and hedge fund communities. Read more…