Hedge Funds Shed 0.54% MTD, Beat S&P

Dec 16 2013 | 1:19pm ET

Hedge funds are down 0.54% month-to-date, according to the Bank of America Merrill Lynch investable hedge fund index, but the good news is they still outperformed the S&P 500, which is down 1.24%.

Equity market neutral funds performed best, adding 0.25% MTD, while CTA advisors, down 1.63%, performed the worst.

BofAML analyst MacNeil Curry says market neutral funds' market exposure remains unchanged at 1% net long while equity long/short funds increased their market exposure to 38% from 28% net long; in line with their 35-40% benchmark.

Macros funds increased their long exposure to the S&P 500 and the NASDAQ and to the U.S. dollar while reducing their short 10-year Treasury exposure and slightly increasing their long exposure to commodities. Macros also increased their small cap tilt and, overseas, reduced their long exposure to EM.  

Commodity Futures Trading Commission data shows large equities speculators increased their net S&P 500 longs but reduced their net NASDAQ and Russell 2000 longs.

Agriculture specs increased their long soybean positions and their wheat shorts but reduced their corn shorts. Metals specs increased their gold and silver longs, reduced their copper shorts and maintained their palladium and platinum longs.

Large energy specs increased crude longs and natural gas shorts but reduced heating oil shorts.

FX specs reduced their yen shorts and increased their euro longs while also increasing their Australian dollar shorts.

Interest rates  specs reduced their 10-year Treasury shorts, neutralized their 30-year longs and increased their 2-year longs.

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