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Alternative Market Briefing

Hedge funds turn bullish on EUR/USD

Tuesday, June 25, 2013

Bailey McCann, Opalesque New York: Hedge funds turn bullish on the Euro and the US Dollar as Asia trends to the downside. According to the latest research from Bank of America Merrill Lynch, both Market Neutral and Long/Short strategies bought market exposure last week, although Long/Short remains below the benchmark.

Macros have slightly reduced their long positions on both the S&P 500 and NASDAQ. Ahead of last week’s Fed meeting, Large speculators sold the USD index out of a crowded long and turned net long EURUSD. This is a return to February's net long on the Euro.

The Investable Hedge Fund Composite Index was down 1.03% for the month, as of June 19, worse than the S&P 500 index’s price return of down 11bps. In terms of strategies, Convertible Arbitrage & Merger Arbitrage performed the best, up 0.19% and down a mere 0.04%, respectively. The Managed Futures category performed the worst, falling 2.36%.

Equity Long/Short funds have increased their exposures to 23% net long from 18% reflecting a buy the dip bias as US markets trended downward toward the end of last week and appear to be maintaining that trend today. Both Market Neutral and Long Short strategies leaned further toward disinflationary expectations.

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