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Alternative Market Briefing

After a run up, hedge funds reduce S&P500 exposure to a net short

Tuesday, March 18, 2014

Bailey McCann, Opalesque New York:

Following a big run up in recent weeks, hedge funds have cut their long exposures to the S&P500 back down to a net short, according to the latest hedge fund monitor data from Bank of America Merrill Lynch. Funds have also cut back slightly on the crowded long position in crude oil.

The Diversified Investible Hedge Fund Composite Index is down 0.26% till March 12 versus S&P500 which is up 0.47% on a price returns basis. Convertible Arbitrage performed the best during the same period, up 0.32%. CTA Advisors performed the worst in the same period, down 1.12%. Models indicate that Market Neutral funds increased market exposure to 26% net long from 11% net long. Equity Long/Short market exposure remained unchanged at 37% net long; in line with the 35-40% benchmark level. Macros funds maintained their long exposure to S&P500 and covered their short exposure to NASDAQ.

In terms of specific positions, funds decreased their long positioning in Soybean but increased their long positioning in Corn and Wheat futures. In metals funds increased Gold longs while marginally decreasing Silver longs. They also increased their Platinum and Palladium longs but increased Copper shorts.

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