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Alternative Market Briefing

Hedge funds take 30-year longs to a three year high

Tuesday, May 20, 2014

Bailey McCann, Opalesque New York:

Hedge funds are taking their long positions on 30-yrs to a three year high according to the latest hedge fund monitor data from Bank of America Merrill Lynch. They've decreased their 10-yr positions although technicals remain bullish.

The Diversified Investible Hedge Fund Composite Index is up 0.27% versus S&P500 which is up 2.17% on a price returns basis till May 1. In terms of strategies, Event Driven Funds performed the best during this period, up 1.95%. Macro Funds performed the worst, down 1.48%. Models indicate that Market Neutral funds increased market exposure to 33% net long from 7% net long. Equity Long/Short market exposure decreased to 28% net long from 29% net long; below the 35-40% benchmark level.

On the position side, funds have covered S&P 500 positioning to be net long and decreased Russell shorts. However they also marginally decreased NASDAQ longs. The MAA indicator suggests speculators may increase their Russell short position. Funds have increased their Gold longs but increased Silver longs and decreased Copper shorts. They increased Platinum longs. In Energy, funds increased their Crude longs and decreased Natural Gas shorts. However, they also increased Heating Oil shorts and decreased heating oil shorts.

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