Tue, Jul 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Funds continue to cover S&P 500 shorts - BAML

Tuesday, March 04, 2014

Bailey McCann, Opalesque New York:

Hedge funds are the least short they've been on 10-year notes in six months and have also taken steps to cover short positions on the S&P500 according to the latest research from Bank of America Merrill Lynch. The Diversified Investible Hedge Fund Composite Index is up 1.27% till February 26 versus S&P500 which is up 3.75% during the same period.

In terms of strategies, Equity Long Short performed the best, up 2.05%. Macro funds performed the worst, down 0.75% for the same period. Models indicate that Market Neutral funds increased market exposure to 11%. net long from 9% net long. Equity Long/Short market exposure decreased to 27% net long from 37% net long; below the 35-40% benchmark level. Macros funds reduced their long exposure to S&P500 and now have short exposure to NASDAQ from having short exposure.

On position data, funds increased their long positions in Soybean and Corn. They also increased their long exposure in Wheat futures. For metals funds added to Gold, Silver and Platinum long exposure. They also decreased their short position in Copper. In energy, funds decreased Crude longs. They marginally decreased their short exposure in Natural Gas while increasing Heating Oil long position.

......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. Opalesque Exclusive: ArbitrOption outperforms benchmarks, up 7.18% in H1[more]

    Komfie Manalo, Opalesque Asia: Independent registered advisor ArbitrOption breezed through the tumultuous Brexit referendum and outperformed its benchmarks. ArbitrOption was up 7.18% in the first half of 2016 compared to the S&P 500 which gain

  4. Europe - European hedge funds shrink and shutter as turmoil hurts returns, Investors go bargain-hunting for U.K. property after Brexit vote, Brexit: Guidance for fund directors - what to know and what to ask[more]

    European hedge funds shrink and shutter as turmoil hurts returns From Bloomberg.com: Europe’s hedge-fund industry contracted for a sixth straight quarter as the U.K.’s decision to leave the European Union and concerns that China’s growth is slowing caused losses and forced some money man

  5. Platinum Partners starts liquidation of hedge funds following municipal union kickback scandal[more]

    Komfie Manalo, Opalesque Asia: Platinum Partners, the hedge fund in the middle of a New York City municipal union kickback investigation, is reported to be liquidating two of its funds, the New