Hedge Funds are buying Gasoline Futures

Hedge funds have been buying and selling a variety of assets over the past week, according to BAML’s latest hedge fund monitor report. Hedge funds have been aggressively buying oil, gasoline, while shorting natural gas. Hedge funds bought crude oil futures to $26.6bn from $25.8bn notional last week. Readings remain in a crowded long. Hedge funds partially covered their shorts in natural gas to $4.5bn from $4.9bn notional last week. Hedge funds maintained gasoline futures at approximately $12.1bn notional last week.  According to BAML. readings remain in a crowded long. We provide a summary of what hedge funds have been buying according to the latest report:

BAML models indicate Long/Short aggressively bought market exposures to 29% last week, still below 35-40% benchmark. However, Macros reduced their long positions in the S&P 500 (.INX), NASDAQ 100, commodities and 10-year Treasuries.
Hedge funds aggressively bought the 2-year Treasuries.

Hedge funds sold gold back into a buy zone; S&P 500 moved out of crowded long.

The investable hedge fund composite index was up 0.50% for February as of February 13 2013, compared to a price return of 1.48% for the S&P 500. Equity Long/Short performed the best, up 1.02%. Merger Arbitrage performed the worst and was up 0.13% for the same period.

Examining Hedge Fund positioning by major strategies

BAML models indicate that Market Neutral funds maintained their market exposure at 11% net short. Equity Long/Short aggressively bought market exposure to 29% from 19% net long, still well below the 35-40% benchmark. Macros sold the S&P 500 (.INX), NASDAQ 100 (INDEXNASDAQ:NDX), commodities & 10-year Treasuries, and slightly covered their shorts in USD futures. In addition, they added to their shorts in EM while partially covering EAFE shorts.

Significant hedge fund moves across asset classes based on CFTC data

Equities. hedge funds sold the S&P 500 (S&P Indices: .INX), NASDAQ 100 (INDEXNASDAQ:NDX) and Russell 2000 futures. S&P 500 (S&P Indices: .INX) moved out of a crowded long.
Agriculture. Funds bought soybean, sold corn, and added to their shorts in wheat.

Metals. Large hedge funds sold gold & silver, flat copper, and slightly bought platinum & palladium. Gold moved back into a buy zone. Palladium remains in a crowded long.

Forex. Large hedge funds sold the Euro, flat USD, and partially covered Yen.

Interest Rates. hedge funds aggressively bought 2-yr USTss, bought 10-yr USTs and partially covered 30-yr USTs.