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BofAML diversified figures show opening November return of 0.19%, 5.36% year to date

Tuesday, November 12, 2013
Opalesque Industry Update - Key takeaways this week from the Bank of Americal Merrill Lynch’s Hedge Fund Monitor included:
  • Macro hedge funds increase their exposure to S&P500. They also increased their exposure to EM and EAFE.
  • Hedge fund flash Nov return down 0.19%, 5.36% year to date,underperforming S&P500 index.
  • Large speculators aggressively reduce their longs in EUR while increasing shorts in 10-yr. Slight reduction in commodities and S&P500 while longs increased in NASDAQ.
  • Investible Hedge Funds flash returns down 0.19% for Nov. The investible Hedge Fund Composite Index was down 0.19% for the first week of November , compared to a price return of up 0.79% for the S&P500 index. Equity Market Neutral and Convertible Arbitrage performed the best, up 0.38% and 0.10% respectively. Macro Hedge Funds performed the worst, falling 0.65%.
Examining hedge fund positioning by major strategies Our models indicate that Market Neutral funds reduced market exposure to 2% net short from 7% net long. Equity Long/Short also reduced market exposure to 18% from 23% net long; below the 35 - 40% benchmark level. Macros maintained their long exposure to S&P500 and reduced NASDAQ exposure. They also increased short exposure to USD and 10-yr. In addition, they aggressively increased commodity exposure. Overseas, they reduced their short EM exposure to be net longs.

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