Fri, May 6, 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. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n

  2. Opalesque Exclusive: Hedge fund talent, fees take a hit at the Milken Global Conference[more]

    Bailey McCann, Opalesque New York: It's been a rough year for hedge funds and now, even other managers are panning them. "Frankly, I’m blown away by the lack of talent," was Point 72 CEO Steven Cohen's assessment of trying to find candidates to hire in the investment business at a panel o

  3. Hedge funds fell in April as alternative UCITS surge in Europe[more]

    Komfie Manalo, Opalesque Asia: Hedge funds shed more in April with the Lyxor Hedge Fund Index down 0.9% during the month (-2.8% YTD), but there was some good news with alternative UCITS showing strong inflows in Europe. In its Weekly Briefing, Lyxo

  4. Global hedge funds recover in April on resurging energy commodities[more]

    Komfie Manalo, Opalesque Asia: Global hedge funds recovered in April with the HFRX Global Hedge Fund Index gaining +0.41% last month (-1.47% YTD), while the HFRX Market Directional Index gained +5.31% during the same

  5. AIG lost $349m in hedge fund portfolio in Q1[more]

    Komfie Manalo, Opalesque Asia: Large US insurance group AIG lost a net $183m for the first quarter 2016, year-on-year. The group blames the loss on the impact of market volatility on investments, as well as net realised capital losses and restructuring costs. Its hedge fund portfolio made a n