BofAML: CTAs Add 11.6% YTD

Dec 2 2014 | 3:13pm ET

The Bank of America Merrill Lynch diversified hedge fund index was up 0.7% for the week ended November 26, compared to a 1.2% jump for the S&P 500.

CTAs were the best performers over the monitored period, adding 1.9%, and are now up 11.6% year to date. Convertible arbitrage funds were the worst performers, shedding 0.4%

BofAML analyst MacNeil Curry said market neutral funds trimmed their market exposure to 6% net short from 7% net long over the monitored period while equity long/short funds trimmed their exposure to 30% net long from 37% net long, below the 35-40% benchmark level.

Macro hedge funds slightly increased their long exposure to the S&P 500 and NASDAQ, added to their U.S. dollar long exposure, maintained their long exposure to 10-year Treasuries and slightly trimmed their short exposure to commodities.

Commodity Futures Trading Commission data for the week shows large equities speculators sold the S&P 500, NASDAQ and Russell for the first time in months. Curry said technicals suggest the S&P 500 and Russell will stall in the near term while the moving average aggregate indicates selling may continue.

Large metals specs reduced their gold longs while adding to their silver longs and copper shorts. Both the MAA and technicals suggest remaining bullish gold and silver and bearish copper, said Curry.

Energy specs sold crude, trimming their net long position. Technicals maintain a bearish bias and the MAA also suggests the trend against crude will persist.  

FX specs sold British pounds for an eighth week, bringing their net short position to its largest in a year. Specs also sold Australian dollars, adding to their net short position. Curry said technicals warn the downtrend in the British pound is close to basing.
Large agriculture specs bought corn for a seventh consecutive week, bringing their net long position to a three-month high. Specs also bought wheat for the sixth time in past seven weeks. Curry said indicators suggest buying in both may continue.  

Interest rate specs bought 30-year Treasuries at a strong pace increasing their net long positioning to a six-month high. Specs also increased their 2-year Treasury shorts. Technicals suggest remaining bearish.  

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