Opalesque Industry Update - Bank of America Merrill Lynch’s Hedge Fund Monitor reports that the investable hedge fund composite index was down 1.38% quarter-to-date
(QTD) as of June 27, compared to down 5.44% for the S&P 500. All seven
strategies outperformed the S&P 500. CTA Advisors and Macro performed the
best and were the only strategies with positive returns, up 0.99% and 0.46%,
respectively. Market Neutral and Equity Long/Short performed the worst, down
3.45% and 3.27%, respectively. |
Our models indicate that Market Neutral funds continued to cut market exposure to 1% net short from 1% net long. Equity Long/Short sold market exposure further to 23% from 26% net long. Macros added to their shorts in the S&P 500 & NASDAQ 100, partially covered commodities &10-year Treasuries, bought EM & EAFE to net longs, and maintained their long positions in USD. In addition, macros reduced small cap tilt.
Significant HF moves across asset classes based on CFTC data.
Equities. Large specs bought the NASDAQ 100, partially covered the S&P 500
and added to their shorts in the Russell 2000. Readings are neutral.