Bailey McCann, Opalesque New York:
Hedge funds are pushing the S&P 500 to a crowded long, with the possible exception of macro funds which have sold their positions in the S&P to a net short for the first time since May, according to the latest hedge fund monitor data from Bank of America Merrill Lynch Global Research. Macros also reduced their long positions in the Nasdaq 100. Market Neutral funds raised market exposure to 5% net
long from 5% net short. Equity Long/Short slightly reduced market exposure to
38% from 39% net long; in line with the 35-40% benchmark level.
Funds also aggressively bought 10-year Treasuries (as of July 30th)
and remain near all time record longs in WTI crude. Corn shorts are their
largest in almost 8 years.
The Investable Hedge Fund Composite Index was up 1.02% for the month of July,
underperforming the S&P 500 index’s price return of 4.95%. In terms of strategies, Equity Long Short
and Event Driven performed the best, up 2.57% and 1.68%, respectively. Macros
performed the worst, falling 0.54%.
In currencies, the Yen remains in a crowded long. Funds sold some of their positions in the US Dollar index, and covered Euro shorts.
Both Long/Short and Market Neutral strategies have disinflationary
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