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Alternative Market Briefing

Hedge funds cut exposure across strategies

Tuesday, June 26, 2012

Bailey McCann, Opalesque, New York: Hedge funds cut exposure across strategies this month, according to new research from Bank of America Merrill Lynch Global Research. According to Mary Ann Bartels, hedge fund analyst at BofA, Market Neutral funds aggressively cut market exposure to 1% from 12% net long. Equity Long/Short sold market exposure further to 26% from 30% net long. Macros partially added to their shorts in the S&P 500, NASDAQ 100, EM, EAFE, commodities and 10-year Treasuries futures, while continuing to buy USD.

Merger Arbitrage and Long/Short performed the best, up 0.29% and 0.20%, respectively. CTA Advisors performed the worst, down 2.60%. Long/Short funds continue with defensive moves - going after large cap picks over style and quality. In futures, large funds more than tripled their positions in NASDAQ 100 futures. Funds continued to short soybean, wheat and corn. Funds are buying gold again after a few weeks of selling out of their positions.

In currencies, the Euro remains a crowded short. The Dollar remains on an upward trend despite a small sell off. Funds are also buying the Yen. The investable hedge fund composite index was down 0.16% for the month as of June 20, compared to up 3.46% for the S&P 500.

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