Apr 27 2015 | 1:22pm ET Hedge funds increased equity long positions across the board last week and are now long the Russell 2000 to the greatest extent in nearly a year, according to the Bank of America Merrill Lynch Hedge Fund Monitor for the week ended April 24. Despite the positioning, the diversified hedge fund index is down 0.5% for the week ending April 22, compared to +0.1% for the S&P 500 index on a price returns basis. CTAs has their worst week since August 2014, down 1.2%, while Macro strategies were down 1.17% and Event Driven strategies down 0.58%. On the plus side, Convertible Arbitrage was up 0.20%. BofAML said that Market Neutral funds marginally increased exposure, going to -6% net short from -7% net short. Equity Long/Short market exposure decreased to 23% net long from 33% net long, below the 35-40% benchmark level. Macro hedge funds increased their long S&P500 and NASDAQ exposure, although decreasing their large cap tilt. Macros also lowered their net long exposures to USD and 10-year Treasury bonds, decreased their short commodities exposure, and increased their short EM exposure. Commodity Futures Trading Commission data for the week shows hedge fund capital moving across asset classes. Specs bought Russell 2000 contracts, decreasing net short positioning to close to smallest in a year. Russell shorts have decreased in five of the last six weeks. Speculators also bought the NASDAQ, increasing net long positioning for the third consecutive week and in line with the recent record in that index. Indicators suggest the buying should continue, BofAML said in the report. In metals, large specs bought Gold, marginally increasing net long positioning, while selling silver contracts for the third week and at an increased pace to decrease net long positioning to three month lows. Energy specs bought crude contracts for a fourth week, increasing net long positioning to levels last seen in August. BofAML’s indicators suggest buying may continue. FX specs bought the yen, decreasing net short positioning to smallest since October 2012. They also bought the Australian dollar, decreasing net short positioning and countering a trend in place for the last several months. Indicators here suggest AUD buying should continue and that the downtrend in AUD may be basing. Interest-rate specs bought 2-yr contracts, increasing net long positioning. The 2-yr has been bought strongly in last six of seven weeks, pushing the net long position (in USD terms) to a two year high. Technicals remain bullish, noted the report. Ag specs bought soybeans at the strongest weekly pace in more than six months, decreasing net short positioning. Buying may continue further, although BofAML warns the six-week consolidation may continue.
BofAML: Hedge Funds Buy S&P 500 at Fastest Pace in Three Months May 26 2015 | 1:44pm ET Hedge funds bought the S&P 500 at the strongest pace in three months and have moved to a net long stance, according to the latest Bank of America Merrill LynchHedge Fund Monitorfor the week ending May 20. The diversified hedge fund index tracked by BofAML is up 0.52% for the period, again underperforming the 1.3% gained by S&P 500 on a price returns basis. Macro funds topped the performance tables, up 1.02%, while Equity Market Neutral funds were down 0.16%. CTAs were up 0.88%, reversing several weeks of negative returns, while Equity Long/Short funds gained 0.58% and Event-driven funds 0.50%. BofAML said that Market Neutral funds market exposure decreased to 11% net long from 13% net long. Equity Long/Short market exposure increased to 29% net long from 25% net long, below the 35-40% benchmark level. Macro hedge funds, meanwhile, decreased their long S&P 500 and NASDAQ exposure. Macros also boosted their long exposure to USD and short exposure to 10-year Treasury bonds, increased short commodities exposure and went further long emerging markets. CFTC data for the week showed hedge fund capital moving across asset classes. Equity hedge funds bought S&P500 contracts at the strongest pace in more than three months, moving to be net long from net short, while also buying NASDAQ contracts after two weeks of strong selling to increase their net long position. BofAML’s technical analysis suggesting the bullishness will continue. In metals, hedge funds bought silver at the strongest weekly pace since 1997, pushing their net long position to a three-month high. Gold was also bought at the strongest pace since June, increasing net long positioning. Technical indicators remain neutral, according to the report. Energy specs marginally bought crude oil contract, increasing the net long positioning to nearly six-month highs. Specs also bought natural gas contracts, narrowing their net short positioning. BofAML’s indicators recommend remaining bullish. In FX, hedge funds bought euro contracts for the fourth straight week, further decreasing net short positioning to the smallest level so far in 2015. They also bought the yen for the second week, decreasing net short positioning. Technicals are bearish both euro and yen. In interest rates, specs sold the 2-year for the fourth consecutive week, further decreasing their net long position after seven weeks of consecutive buying. Technicals here are relatively neutral and suggest near-term range trading, BofAML noted. In agriculture, corn was sold for the seventh consecutive week, increasing net short positioning to the largest level in a year. Positioning is now close to stretched levels, although BofAML’s indicators suggest shorts may increase further.
BofAML: Hedge Funds Reverse Course, Go Net Short S&P 500 Jun 1 2015 | 3:41pm ET Hedge funds sold the S&P 500 at the strongest pace in three months, just one week after buying at the strongest pace over the same time frame, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor for the week ending May 27. The diversified hedge fund index tracked by BofAML was up 0.19% for the period. For the month to date, the index is up 0.5% versus the S&P 500’s 1.8% on a price returns basis. Macro funds were at the top, up 1.19% while Equity Market Neutral funds were down 0.04%. CTAs gained 0.22%, continuing their recovery after several difficult weeks, and Merger Arbitrage rose 0.26%. Convertible Arbitrage was down 0.37%. BofAML said that Market Neutral funds increased their market exposure to 19% net long from 11% net long. Equity Long/Short market exposure increased to 30% net long from 29% net long, still below the 35-40% benchmark level. Macro hedge funds slightly increased their long S&P 500 and NASDAQ exposures, as well as long exposure to the dollar. They increased their short exposure to 10-year Treasury bonds, increased short commodities exposure and decreased long emerging markets exposure, according to the report. CFTC data for the week showed hedge fund capital moving across asset classes. Equity hedge funds sold S&P 500 contracts at the strongest pace in more than three months, moving to be net short after buying the index at an equally strong pace just a week ago. BofAML’s indicators suggest selling pressure on the S&P500 may continue in the near term. In Metals, hedge funds sold gold contracts after two weeks of buying, decreasing net long positioning. Specs have increased long gold exposure in seven of the previous nine weeks. They also sold Copper at the strongest pace in more than six months, decreasing net long positioning. The net long position in Silver, which was bought at the strongest weekly pace since 1997 last week, decreased this week. Energy specs marginally bought crude contracts for the eighth week out of the last ten, with BofAML’s indicators suggesting longs may continue to increase. In FX, hedge funds sold the yen at the strongest weekly pace since December 2012, increasing net short positioning. They also sold sterling contracts, increasing net short position. Indicators suggest selling should continue further. In interest rates, specs bought 2-year contracts at a strong pace after four weeks of selling, increasing their net long position, and 10-yr contracts for a third week, albeit at a decreased pace. BofAML’s technical indicators recommend remaining bullish. In agriculture, hedge funds sold soybeans for the third week, increasing net short positions to the largest level since 2005. Meanwhile, the net short position in corn was unchanged this week after 7 weeks of selling. Our indicators suggest selling should continue.
BofAML: Strong Selling in S&P 500, NASDAQ, Gold, Crude Oil as Hedge Funds Reposition Jun 15 2015 | 3:00pm ET Hedge funds lowered long exposure in a broad swath of asset classes during the week ended June 10, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor. The diversified hedge fund index was down 0.49% for the week, underperforming the S&P 500’s 0.1% loss on a price returns basis. Equity market neutral funds led the performance table for the period, up 0.35%, followed by Merger Arbitrage, up 0.36%. Laggards were led by CTAs, down 1.75%, and Macro, down 0.77%. The large loss for CTAs during the week pulled the segment’s YTD return to a negative 0.83% after a promising start to the year. BofAML said that market neutral funds' market exposure decreased to 15% net long from 25% net long. Equity Long/Short market exposure increased to 31% net long from 29% net long, below the 35-40% benchmark level. Macro hedge funds, meanwhile, decreased their long S&P500 and NASDAQ exposure. They also lowered their long exposure to the U.S. dollar. However, they decreased short exposure to 10-year Treasuries to move to a nearly-neutral stance. They also lowered short commodities exposure and went further short emerging markets. CFTC data for the week showed hedge fund capital moving across asset classes. Equity hedge funds sold S&P500 contracts at the strongest pace in more than three months to increase their net short position to the largest in more than a year. They also sold NASDAQ contracts at the strongest pace in more than a year. BofAML’s indicators suggest the selling may continue. In metals, large specs decreased gold longs at the strongest pace in three months, booking the third consecutive week of gold selling. Specs also sold Silver, this time at the strongest pace in more than five years. Here as well, indicators suggest selling may continue. In energy, large hedge funds also sold crude oil contracts, decreasing their net long positioning. They bought heating oil contracts for the seventh week out of the last nine, decreasing net short positioning to the smallest since September 2014. BofAML’s indicators suggest crude longs and heating oil shorts should increase. In FX, large specs sold the Japanese yen for the third week, increasing net short positioning. Specs also bought euro contracts at the strongest pace in more than a year, decreasing net short positions to smallest so far in 2015. BofAML noted that the trend in the euro is unlikely to continue. In interest rates, hedge funds sold 2-yr Treasury contracts for a second week, decreasing their net short positioning. The selling this week was the largest reduction in the last three years, the report said. In agriculture, large specs bought corn contracts after nine consecutive weeks of selling. They also bought soybean and wheat contracts. This was the first week in 2015 th