Oct 12 2015 | 5:22pm ET Hedge funds recently lowered their equity and Treasury bond exposures but bought commodities, according the latest edition of Bank of America Merrill Lynch’s Hedge Fund Monitor. BofAML’s investable Hedge Fund Composite Index was up 0.70% in the week ended October 7, led by a 1.57% gain in Event Driven strategies. Macro lagged, down 1.65%, while CTAs lost -1.12%. The broad measure is now down -2.37% for the year to date. Meanwhile, BofAML’s models indicate that market exposure of Market Neutral funds fell to 1% net short from flat, while Equity Long/Short market exposure increased to 31% net long, still below the historical average of 35-40% net long. Macro hedge funds reduced their shorts in S&P 500, NASDAQ 100 and Treasuries. Elsewhere, NASDAQ and Treasury investors moved out of a crowded short while selling both EM and EAFE to a net short. Macros continue to cover their shorts in commodities, while selling their long positioning in USD to almost flat. Moreover, correlation analysis shows rising high yield option-adjusted spreads could be a risk for Long/Short, Distressed Credit, Convertible and Event Driven performance, BofAML noted. CFTC data for the week showed hedge fund capital moving across asset classes. In equities, large hedge funds increased their short positioning in the S&P 500 and Russell 2000, but bought NASDAQ 100 to a net long from a net short. The reading for the S&P 500 went back to a crowded short, with the highest short notional since Oct. 2011. In agriculture, large specs increased their long positioning in Soybeans and Corn, and reduced their shorts in Wheat. In metals, they increased their net long in Gold, Silver and Palladium, reduced their shorts in Copper, and maintained their long positioning in Platinum. In energy, hedge funds increased their long positioning in Crude Oil and Gasoline, reduced their shorts in Natural Gas and Heating Oil. Money Managers bought 23,077 WTI Crude Oil contract last week, the largest since April, according to BofAML.
treasury and equities no long accurately represent "read" goods. commodities have a higher level of tangiblility and read substance to them in which tons of cheap money hasn't been baked into.
In case anyone thinks the OP is the poster's own work... it's an uncredited cut/paste from finalternatives.