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.
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