Thu, May 7, 2015
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. SEC charges funds of hedge funds Alpha Titans, executives, and auditor for improper expense allocations[more]

    Update: Please note the important updated information at the end of the article.The Securities and Exchange Commission today announced charges against a Santa Barbara, Calif.-based hedge fund advisory firm and two executives involved in improper allocations of fund assets to pay undisclose

  2. Avenue Capital raises $700m for new energy hedge fund[more]

    Komfie Manalo, Opalesque Asia: Global hedge fund Avenue Capital Group, which manages $13bn in assets as at end March, reported that it raised an additional $700m for a new energy fund that it plans to launch in May. Avenue Ca

  3. Opalesque Exclusive: Carne establishes non-EU ManCo in Jersey[more]

    Benedicte Gravrand, Opalesque Geneva: For those managers who will not domicile their fund in the European Union (EU) and yet want to distribute it in the EU – especially the UK –, going under the wing of an AIFMD-compliant ManCo on the Channel Islands could be one of the ways to do it. Ch

  4. Opalesque TV: Aequam Capital: Asset management industry will be mainly quantitative going forward[more]

    Benedicte Gravrand, Opalesque Geneva: Before starting his boutique in 2010, Arnaud Chretien, co-founder and CIO of Aequam Capital, worked ten years as a market trader and 18 years as a quantitative and systematic fund manager for Soc

  5. Class-action lawsuit accuse hedge fund Standard General of holding American Apparel hostage[more]

    Komfie Manalo, Opalesque Asia: A shareholder class-action suit filed on Wednesday accused New York-based hedge fund Standard General of holding American Apparel hostage. It would reportedly reap huge benefits if the clothing company declared bankruptcy. Standard General is the controlling sto

 

banner