The Diversified Investible Hedge Fund Composite Index was up 0.9% year to date as of June 3, trailing the S&P 500 index which was up 4.1% over the same period.
Event-driven funds performed the best, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor, up 3.2% over the monitored period.
According to BofAML analyst MacNeil Curry, market neutral funds increased their market exposure to 25% net long from 24% net long over the monitored period while equity long/short market exposure increased to 39% net long from 31% net long, in line with the 35-40% benchmark level.
Macro funds increased their long exposure to the S&P 500, maintained their long exposure to the NASDAQ, added to their U.S. dollar and commodity longs and reduced their exposure to 10-year Treasuries. They also increased their large cap tilt and, overseas, further trimmed their long EM exposure.
Commodity Futures Trading Commission data shows large equities speculators trimmed their S&P 500 longs, added to their NASDAQ longs and trimmed their Russell 2000 shorts. Curry said technicals suggest specs will remain bullish on the S&P 500 and NASDAQ while the moving average aggregate suggests a reduction in S&P shorts.
Metals specs trimmed their gold and silver longs, added to their copper shorts and maintained their platinum and palladium longs. Technical analysis recommends remaining bearish gold, silver and copper, said Curry, while the MAA indicator suggests further selling of all three contracts.
Energy specs trimmed their crude and gasoline longs while adding to their natural gas and heating oil shorts. Technicals suggest the natural gas price may be poised to rise while the MAA indicator suggests a further reduction in natural gas shorts. Technicals and MAA are bearish heating oil, said Curry.
Large FX specs increased their euro and yen shorts while adding to their Australian dollar and Mexican peso longs. Technical analysis is bullish the Aussie dollar, said Curry, while maintaining a bearish bias for the Mexican peso.
Agriculture specs cut their soybean, corn and wheat longs. MAA and technicals recommend remaining bearish soybean.
Interest rate specs increased their 2-year Treasury longs but trimmed their 30-year longs. They also increased their 10-year shorts after strong buying the previous week.