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BofAML flash return shows hedge funds up 1.19% to July 24, 3.74% year to date

Monday, July 29, 2013
Opalesque Industry Update - The latest Bank of America Merrill Lynch Hedge Fund Monitor shows that the Investable Hedge Fund Composite Index was up 1.19% for the month of July as of July 24, underperforming the S&P 500 index's price return of 4.96%. Equity Long Short and Event Driven performed the best, up 2.51% and 1.80%, respectively. CTA Advisor performed the worst, falling 0.61%.

Examining hedge fund positioning by major strategies, the bank reported that its models indicate that Market Neutral funds reduced market exposure to 5% net short from 11% net long. Equity Long/Short decreased market exposure to 39% net long from 44%; in line with the 35-40% benchmark level. Macros continued to reduce their long exposures to the S&P 500 and NASDAQ 100 indexes, maintained their long positions in commodities, bought the US Dollar index while partially covering their shorts in the 10-yr Treasuries. Overseas, they added to their EAFE shorts to a crowded short, and reduced EM exposures to flat.

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