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Alternative Market Briefing

As S&P hits new highs, hedge funds reduce short positions

Wednesday, July 09, 2014

Bailey McCann, Opalesque New York:

While last week saw record highs in the broader market, hedge funds also cut their short positions in S&P500. Technicals suggest remaining bullish, according to the most recent hedge fund monitor data from Bank of America Merrill Lynch Global Research. Funds increased Russell shorts and decreased NASDAQ longs, marking the second week of sell offs on both indexes.

The Diversified Investible Hedge Fund Index is up 2.1% versus S&P500 which was up 6.8% on a price return basis. Models indicate that Market Neutral funds increased market exposure to 18% net long from 15% net long. Equity Long/Short market exposure decreased to 33% net long from 41% net long; below the 35-40% benchmark level.

At the position level, funds decreased Crude and Gasoline longs. They increased Natural Gas shorts but increased Heating Oil longs. In metals, funds increased their Gold, Silver and Platinum longs and reduced Copper shorts. Long positioning in Gold, Silver and Platinum is at a one year high.

In currencies funds increased GBP and AUD longs. GBP longs are at multiyear high while AUD longs are at one year high. Wheat and Corn have now been sold for eight successive weeks.

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