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Alternative Market Briefing

BofAML report finds investable hedge fund index up 0.94% for the month of May, 4.55% year to date

Tuesday, June 04, 2013

Beverly Chandler, Opalesque London: Key takeaways this week from Bank of America Merrill Lynch’s Hedge Fund Monitor include the investable hedge fund composite index was up 0.94% for the month as of May 29, underperforming S&P 500’s 3.18% gain and giving a year to date return of 4.55%. Other highlights reported by the BofAML include:

  • Macros increased EM exposure to its highest point since October 2011 and went net long risk assets, specifically the S&P 500, NASDAQ 100 and commodities (using the S&PGSCI) .
  • Large speculators bought Wheat out of a crowded short. They bought US equity futures and sold treasuries to a net short across the board. NASDAQ positions are at record high.
  • Convertible Arbitrage and Event Driven performed the best, up 3.54% and 2.09%, respectively. Macro performed the worst and was down 0.75% - BofAML says this is not a surprise given their recent net short positions in US equities,

In terms of examining Hedge Fund positioning by major strategies, the bank’s models indicate that Market Neutral funds have reversed their market exposure and have now moved to a 6% net short position from 6% net long. Equity Long/Short maintained market exposure at 32% net long, just below the 35-40% benchmark level. Macros bought risk assets, moving to a net long in the S&......................

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