BofAML: Hedge Funds Add 0.40% In December

Jan 9 2014 | 4:01pm ET

Hedge funds were up 0.40% as of December 30 and 6.57% year to date according to the Bank of America Merrill Lynch investable hedge fund composite index.

Event-driven and distressed credit funds outperformed the S&P500 on a risk- adjusted basis while dedicated short-bias funds lagged, reports BofAML analyst MacNeil Curry. From December 2012 to November 2013, event-driven funds and distressed credit had Sharpe Ratios of 4.02 and 3.81, respectively, compared to 2.86 for the S&P 500.

Curry says market neutral funds increased their market exposure to 9% net long from 7% net long during the monitored period while equity long/short funds reduced their market exposure to 29% net long, slightly below their 35-40% benchmark.

Macros funds slightly reduced their long exposure to the S&P and NASDAQ, maintained their long exposure to the dollar and, notably, moved from short to long 10-year Treasuries and commodities. Macros further increased their small cap tilt and, overseas, maintained short EM exposure while slightly reducing their EAFE short exposure.

Large  equities specs marginally decreased their net S&P 500 longs but increased their NASDAQ and Russell 2000 longs.

Agriculture specs decreased their soybean longs and increased their wheat and corn shorts.

Metals speculators increased their gold, silver, copper and platinum longs while maintaining their palladium longs.

Large energy specs maintained their crude longs, increased their gasoline longs and reduced their natural gas and heating oil shorts.

Large FX specs trimmed their euro longs and yen shorts while increasing their Australian dollar shorts and British pound longs.

Interest rate specs added significantly to their to their 10-year Treasury short positions, increased their 30-year long positions and cut their 2-year longs.


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