Opalesque Industry Update - Key takeaways this week from the Bank of Americal Merrill Lynch’s Hedge Fund Monitor included:
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.
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
, compared to a price return of up
0.79% for the S&P500 index. Equity
Convertible Arbitrage performed the best, up 0.38% and 0.10%
Macro Hedge Funds performed the worst, falling 0.65%.
Examining hedge fund positioning by major strategies
Our models indicate that Market Neutral funds
short from 7% net long.
market exposure to
23% net long;
40% benchmark level.
long exposure to S&P500 and reduced NASDAQ exposure. They also increased
short exposure to USD and 10-yr. In addition, they aggressively increased
they reduced their short EM exposure to be net