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BofAML investable hedge fund index up 0.19% month to date

Tuesday, October 23, 2012
Opalesque Industry Update - Bank of America Merrill Lynch’s Hedge Fund Monitor shows that to October 17th 2012, Long/Short hedge funds performed best up 1.11% and CTAs worst, with a loss of 1.43%. The investable hedge fund composite index was up 0.19% month-to-date as of October 17, underperforming the S&P 500’s 1.40%.

Examining Hedge Fund positioning by major strategies BofAML reports that their models indicate that Market Neutral funds sold market exposure to flat from 4% net long. Equity Long/Short maintained market exposure at 22% net long, well below the 35-40% benchmark. Macros sold the S&P 500, NASDAQ 100, commodities and 10-year Treasuries, partially covered EM shorts, maintained EAFE long exposures, and continued to cover their shorts in the USD. In addition, they tilted further toward small caps.

Press release

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