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Hedge funds beat the S & P in second quarter

Monday, July 02, 2012
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.
Agriculture. Large specs bought soybean, corn and wheat. Soybean stays in a crowded net long, wheat is approaching a crowded long.
Metals. Large specs sold gold, silver, platinum and palladium, while adding to their shorts in copper. Readings are neutral.
Energy. Large specs sold crude oil, heating oil & gasoline, and added to their shorts in natural gas. Heating Oil is approaching a crowded short.
Forex. Large specs sold USD & Yen, while adding to their shorts in Euro. Euro remains in a crowded short; USD is in a crowded long.
Interest Rates. Large specs sold 30-yr and 2-yr Ts, while adding to their shorts in 10-yr Ts. 30-yr Treasuries stay in a crowded net long

Press release

bc

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