Bank of America Merrill Lynch’s Investible Hedge Fund Composite Index reversed a slight dip in August to rise 0.91% in September, but this rate failed to match the nearly 3% gain by the S&P500 Index.
Event driven and equity long/short fared the best in September, rising 2.01% and 1.19% respectively. These strategies also have the top returns year to date, with event driven up 8.94% and equity long/short up 8.59%. The Commodity Trading Advisors (CTA) strategy fared the worst, falling 0.9% in September.
The September report also found that market neutral funds have reduced their market exposure from 2% to 0% long. Equity long/short funds stayed at 38% net exposure to longs in September, which is in line with their 35-40% benchmark. Macro funds increased their long exposure to the S&P500, NASDAQ and commodities, while decreasing their exposure to small cap equities. In addition, macro funds slightly increased their exposure to the U.S. dollar index and 10-year U.S. treasuries. Outside the U.S., they slightly decreased emerging markets long positions and increased Europe, Australasia and Far East (EAFE) shorts.
Data on moves across asset classes, which is based on information from the CFTC, has been delayed due to the U.S. government shutdown.
Merrill Lynch Hedge Fund Index Lags Behind S&P500 in September
Bank of America Merrill Lynch’s Investible Hedge Fund Composite Index reversed a slight dip in August to rise 0.91% in September, but this rate failed to match the nearly 3% gain by the S&P500 Index.
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