Bank of America Merrill Lynch’s Hedge Fund Monitor has released the update on the performance of investable hedge funds till the end of August. The composite index was up 0.17 percent till Aug 29. On the S&P index performance was down by 2.26 percent. Best performers of the month were funds that invested in Events (+0.87 percent) and Long/Short Equities (+0.76 percent), while the worst was CTA Advisor (-1.44 percent).

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We also posted BAC’s HF monitor update of Aug 22.

Hedge Funds by Strategies

Till Aug 22, Market Neutral funds sold market exposure to 0.4 percent net long, while till Aug 29 market exposure was -0.5 percent net short.

In case of Long/Short equities the exposure was about 19 percent from 24 percent net long. The inflationary expectations are now positive, trend is towards low quality which is a first since Feb 2012 and growth curve is reducing. Refer to the chart below.

LS equity Exposure

Macros bought exposure in S&P 500 (INDEX.INX) for the first time since June. This time sold USD, EM and EAFE and covered shorts in 10 yr treasuries, commodities and NASDAQ 100.

Hedge Funds across Asset classes

Equities.

As indicated in the last update large hedge funds bought into NASDAQ 100 but this time covered their short exposure in S&P 500 (by 67 percent) and Russell 2000 (by 13 percent). NASDAQ 100 is still crowded in the net long.

SP 500 Source BofA

Agriculture

Large specs sold off commodities like soybeans, corn and wheat which were actively bought in the preceding week. Readings for all three are staying in the net long.

Metals

Large spec hedge funds continued to buy metals like, gold, silver, copper, platinum and palladium. Readings for all metals remain in the neutral zone. Largest buys were made in the gold sector. Copper is still looming in the danger zone.

Energy

Hedge funds bought crude oil and increased short exposure in natural gas. Readings were crude oil stay in the longs but are neutral in case of gasoline, natural gas & heating oil.

Forex

As indicated in last week’s report (performance till August 22), large specs continued to sell USD in the next week but bought back JPY. For the week of Aug 22- Aug 29,  shorts in Euro were covered.

Fixed Income Futures

In the previous week, hedge funds aggressively bought 10 year treasury notes. While in the next week treasuries were sold across all valuations. Both 10 year and 30 year notes have now exited the crowded long.

10 yr T notes Source BofA