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Alternative Market Briefing

Funds move into 10 year treasuries

Tuesday, August 28, 2012

Bailey McCann, Opalesque New York: New research from Bank of America Merrill Lynch shows that hedge funds are beginning to sell out of their positions in 30-yr treasuries and moving into 10-yr and 2-yr instead. COT Eurodollar positioning has also become an unexpected leading indicator for the equity market - leading the S&P 500 by one year with a correlation of 0.72, according to Mary Ann Bartels, lead analyst for Bank of America Merrill Lynch.

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