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.
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
A majority of the
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
market exposure to
net long from
33% net long.
Equity Long/Short market exposure
28% net long;
the 35-40% benchmark level.
At the position level funds increased
longs. In Energy, funds increased
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