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Alternative Market Briefing

BofAML research reveals highest long/short equity market exposure since August 2011

Wednesday, April 11, 2012

Beverly Chandler, Opalesque London: The latest report from Bank of America Merrill Lynch has found that the investable hedge fund composite index was up 2.20% year-to-date as of April 4. Mary Ann Bartels, head of US technical analysis, reported that hedge funds underperformed the S&P 500 by 9.04%. The report says: "Event Driven and Convertible Arbitrage performed the best, up 5.50% and 3.98% respectively. Market Neutral performed the worst, down 1.90%."

Bartels also reported that the Bank of American Merrill Lynch models indicate that Market Neutral funds bought market exposure to 4% net long from neutral. "Equity Long/Short bought market exposure to 34% net long the highest level seen since August 2011. Macros sold the S&P 500 and NASDAQ 100, marginally sold 10-year Treasuries and commodities, added to USD shorts, while buying EM and EAFE exposures". The report also revealed significant moves across asset classes by hedge funds, based on CFTC data.

  • Equities. Large specs bought the NASDAQ 100, yet added to their shorts in the S&P 500 and Russell 2000. NASDAQ 100 is in a crowded net long.
  • Agriculture. Large specs bought soybean, sold corn and wheat. Soybean is in a crowded long; wheat is in a crowded net short.
  • Large specs bought silver and copper, sold gold and palladium, and fl......................

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