Hedge Funds Are Most Short The S&P 500 In Four Years

(Benzinga) In a report issued earlier this week, Bank of America Merrill Lynch analysts Jue Xiong and Stephen Suttmeier looked into the hedge fund world. They assure that large speculators are most short the S&P 500 since November of 2011.

BofA’s models show that Market Neutral funds boosted their market exposure from flat to 1 percent net long. Equity Long/Short funds trimmed their market exposure 33 percent net long, below the 35 to 40 percent benchmark.

“Disinflation expectation have been near 4-year high for Market Neutral strategy since late August.” Macro hedge funds diminished their short positioning in the S&P 500, NASDAQ 100 and Commodities.

Macro hedge funds also reduced their net long in the U.S. Dollar. “They sold 10-year treasury to a net short for the first time in three months,” the report adds. “Meanwhile, they increased their shorts in EAFE and slightly reduced their long in EM.” Macro hedge funds turned to small-cap preference for the first time in almost three months.

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