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Alternative Market Briefing

Hedge funds make sizable position shifts - BAML

Tuesday, June 03, 2014

Bailey McCann, Opalesque New York:

Hedge funds made a number of sizable position shifts over the week according to the latest hedge fund monitor data from Bank of America Merrill Lynch Global Research. Last week saw the strongest buying of S&P500 contracts in ten months but overall, funds remain at a net short. Data shows that a further reduction of those shorts is likely. The net short position on 10-yr notes is near an eight month low, but technicals suggest a long term bear trend.

The Diversified Investible Hedge Fund Composite Index is up 0.36% versus S&P500 which is up 1.38% on a price returns basis through May 28. In terms of strategies, CTAs performed the best up 1.59%. Models indicate that Market Neutral funds decreased market exposure to 24% net long from 26% net long. Equity Long/Short market exposure increased to 31% net long from 25% net long; below the 35-40% benchmark level.

At the position level, funds decreased their Gold and Silver longs and marginally decreased Copper shorts. They also increased Palladium longs. Last week was the largest weekly selling of Gold contracts in six months. In Energy, funds increased their Crude longs and Natural Gas shorts. They also decreased Heating Oil shorts and Gasoline longs.

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