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Alternative Market Briefing

Hedge funds wobble, go back long S&P500

Tuesday, March 25, 2014

Bailey McCann, Opalesque New York:

It looks like hedge funds are getting whipsawed in the market if you've followed the last three weeks or so of hedge fund monitor data from Bank of America Merrill Lynch Global Research. Opalesque first reported a run up of long positions during the week of March 11, followed a return to net short positioning by March 18, only for funds to go long again this week. Bank of America's research note says technicals do suggest caution though.

Notably, hedge funds did outperform the index after lagging for the past three weeks. The Diversified Investible Hedge Fund Composite Index is down 0.04% for the week till March 19 versus S&P500 which is down 0.40% on a price returns basis. In terms of strategies, Equity Market Neutral funds performed the best during the same period, up 0.44%. Convertible Arbitrage performed the worst in the same period, down 0.55%. Models indicate that Market Neutral funds decreased market exposure to 10% net long from 26% net long. Equity Long/Short market exposure remained unchanged at 37% net long; in line wit......................

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