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Alternative Market Briefing

Hedge funds the most short the NASDAQ 100 since August '11 - BAML

Wednesday, November 28, 2012

Bailey McCann, Opalesque New York: Hedge funds sold the NASDAQ 100 futures to $0.5bn net short from $0.9bn net long last week, these figures are the lowest since August of 2011 according to a new report from Bank of America Merrill Lynch Global Research. Lead hedge fund analyst Mary Ann Bartels of Bank of America Merrill Lynch says they view the change "as a more contrarian bullish sign for the index." Technology is the most oversold and shortest sector.

The investable hedge fund composite index was down 0.16% for the month, as of November 21, compared to down 1.50% for the S&P 500. In terms of strategies, Convertible Arbitrage and Merger Arbitrage are the best performers month-to-date, up 0.54% and 0.38%, respectively; CTA Advisors performed the worst and was down 0.69%. Funds aggressively sold the S&P 500 futures by ~72%, to $2.4bn from $8.6bn notional last week.

In commodities, wheat moved out of a crowded long for the first time since July of this year. Funds also sold soybean but in a change from last week bought corn. Funds are again buying gold, silver and palladium, partially covered copper, yet sold platinum. In energy, funds bought crude oil and gasoline, sold heating oil, and added to their shorts in natural gas.

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