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Alternative Market Briefing

Macros increase S&P500 exposure - BAML

Tuesday, May 06, 2014

Bailey McCann, Opalesque New York:

Hedge funds are increasing their long exposures to the S&P 500 - specifically macro funds are adding to their overall long positions according to the latest hedge fund monitor data from Bank of America Merill Lynch Global Research. Funds have also decreased stretched Russell short positioning. This marks the third week of gains in S&P 500 positions after hedge funds suffered a little whipsawing in March through the beginning of April.

The Diversified Investible Hedge Fund Composite Index is up 0.38% versus S&P500 which is up 1.93% on a price returns basis till April 30. Equity Market Neutral and Event Driven Funds performed the best during this period, up 2.65%.and 2.12% respectively. Models indicate that Market Neutral funds decreased market exposure to 7% net long from 10% net long. Equity Long/Short market exposure decreased to 39% net long from 44% net long; in line with the 35-40% benchmark level.

On a position level, funds increased their long positioning in Soybean futures, Corn and Wheat futures. They also increased Gold and reduced Copper shorts but decreased Silver longs. They decreased Platinum longs but increased Palladium longs. In Energy funds decreased their Crude longs and increased Natural Gas shorts. They also decreased Heating Oil shorts ......................

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