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Alternative Market Briefing

BofAML’s composite index returns 1.45% month to date, 5.08% year to date

Wednesday, May 29, 2013

Beverly Chandler, Opalesque London: Bank of America Merrill Lynch’s report this week finds that:

  • Market Neutral and Long/Short strategies notably reduced equity market exposure.
  • Macro hedge funds sold the US Dollar index to a net short for the first time since March 2013.
  • Large speculators sold wheat and Euro into a crowded short, but bought crude oil into a crowded long.

The investable HF composite was up 1.45% month to date, with a year to date return of 5.08% against a 3.62% return for the S&P 500 index. Convertible Arbitrage and Event Driven performed the best, up 2.80% and 2.13%, respectively, putting Convertible Arbitrage in the position of top performer year to date with a return of 8.93%. Market Neutral performed the worst and was down 0.67%.

Looking at hedge fund positioning by major strategies, BofAML reports that its models indicate that Market Neutral funds aggressively reduced market exposure to 6% from 16% net long. The firm found that equity long/short funds reduced market exposure to 32% from 41% net long; below the 35-40% benchmark level. BofAML says that macros funds partially covered their shorts in the S&P 500, NASDAQ 100, commodities and T-notes, reduced their net long positions in EM and EAFE, w......................

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