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Alternative Market Briefing

Hedge funds long S&P500; silver longs stretched

Tuesday, July 29, 2014

Bailey McCann, Opalesque New York:

Hedge funds are net long the S&P 500 after nine weeks, according to the latest hedge fund monitor data from Bank of America Merrill Lynch Global Research. Funds are also at a stretched net short of the Russell index. Technicals suggest remaining bullish S&P500 and bearish on the Russell.

Investible Hedge Fund Composite Index performance was up 0.21% for the week and +1.66% on a year to date basis. On a strategy level, event driven hedge funds gained 4.3% for YTD versus S&P500 which is up 7.5% on a price returns basis. Models indicate that Market Neutral funds decreased market exposure to 1% net long from 8% net long. Equity Long/Short market exposure decreased to 48% net long from 55% net long; above the 35-40% benchmark level. Macros funds increased their long exposure in S&P500 and NASDAQ. They switched commodities long exposure to now have short exposure.

At the position level, funds are short soybeans for the first time since 2006. Positioning in Soybean is the smallest in five years and stretched to the downside. Selling also continues in corn and wheat. In metals, funds increased Gold long but decreased Silver and Copper longs. Positioning in Silver remains stretched to the upside. In energy, funds decreased Crude and Gasoline longs but sl......................

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