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Alternative Market Briefing

Hedge funds sell off equities

Wednesday, May 28, 2014

Bailey McCann, Opalesque New York:

Hedge funds have sold their S&P500 exposures to a net short, and increased their shorts on the Russell 2000 to the largest in two years according to the latest hedge fund monitor data from Bank of America Merrill Lynch Global Research. The sell off accounts for the strongest weekly selling of the S&P500 in two years as well. Technicals are bearish on the Russel 2000.

The Diversified Investible Hedge Fund Composite Index is down 1.15% versus S&P500 which is up 0.84% on a price returns basis through May 21. A majority of the sub-indices lagged with Equity Long Short performing the worst, down 2.75%. CTA advisors performed the best up 0.72%. The uptick in CTA performance is notable following quarters of lag. Models indicate that Market Neutral funds decreased market exposure to 26% net long from 33% net long. Equity Long/Short market exposure decreased to 25% net long from 28% net long; below the 35-40% benchmark level.

At the position level funds increased their Gold and Silver longs and decreased Copper shorts. They maintained Platinum and Palladium longs. In Energy, funds increased their Crude longs and increased Natural Gas shorts. They also decreased Heating Oil shorts and decreased Gasoline oil longs.......................

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