Beverly Chandler, Opalesque London: The latest
Hedge Fund Monitor from Bank of America Merrill Lynch finds that macros are currently net long EAFE while short US equities. Stephen Suttmeier, Chief Equity Technical Strategist reported that the investable hedge fund composite index was up 0.93% month-to-date as of May 8, compared with a price return of 2.20% for the S&P 500 index, and had a year to date figure of 4.54%.
Key takeaways from the report include:
In terms of performance, Convertible
Arbitrage and Event Driven performed the best, up 1.29% and 1.19%,
respectively. Market Neutral performed the worst and was down 0.42%.
- Hedge funds had a good start in May, rising 0.93% in the first week, but still
underperformed S&P 500’s 2.20% advance.
- Macro hedge funds aggressively bought EAFE exposures to near the 2012
high, while staying net short of the S&P 500 and NASDAQ 100.
- Large speculators aggressively sold 30-year and 10-year Treasuries out of a
crowded long. With Yen breaking above 100 for the first time in four years,
large speculators have sizable net short positions in Yen.
In terms of hedge fund positioning by major strategies, BofA Merrill Lynch’s models indicate that Market Neutral funds increased market exposure to 11%
from 10% net long. E......................
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