Macro hedge funds increased their long exposure to 10yr Treasuries to a two-year high and to US dollars to the highest since July 2012 according to a new report from MacNeil Curry, CFA, CMT, Technical Strategist BAML, as noted in the firm’s hedge fund monitor. Both positions are in a crowded long. In addition, Macro hedge funds started to rotate from non-US equities to US assets another sign of a flight to safety. Further details below.

macro hedge funds

Long/Short added to their NASDAQ 100 shorts to the level last seen in November 2011.

Large speculators aggressively covered Euro as the currency continued to rally last week. In addition, they sold the NASDAQ out of a crowded long. Investable HF Composite Index down 1.38% month-to-date

The Investable Hedge Fund Composite Index was down 1.38% for the month as of June 12, worse than the S&P 500 index’s price return of 1.12%. Merger Arbitrage & Convertible Arbitrage performed the best, merely down 0.06% and 0.24%, respectively. Managed Futures performed the worst and was down 2.56%.

Examining hedge fund positioning by major strategies: Macro hedge funds Turn Cautious

BAML models indicate that Market Neutral partially covered shorts in market exposure to 5% from 9% net short. Equity Long/Short continued to reduce market exposure to 18% net long from 21%, well below the 35-40% benchmark level.
Macro hedge funds increased long positions to the S&P 500, NASDAQ 100 and commodities, reduced EM & EAFE long exposures, while aggressively buying US Dollar index and 10-yr Treasury notes to a crowded long. 10-yr T-notes exposure is the highest in two years. And they switched to prefer small caps.

Significant HF moves across asset classes based on CFTC data

Equities. Large specs sold the S&P 500, NASDAQ 100 and Russell 2000. NASDAQ 100 moved out of a crowded long; S&P 500 remains on the edge of a crowded long.

Agriculture. Large specs bought soybean, sold corn, and added to their shorts in wheat. Positioning is neutral.

Metals. Large specs sold gold and silver, bought platinum and palladium, and added to their copper shorts. Gold and silver remain in the buy zone.

Energy. Large specs bought crude oil and gasoline, added to their shorts in heating oil and natural gas. WTI crude oil remains in a crowded long; heating oil remains a crowded short.

FX. Large specs reduced net long positions in the US $ Index, while covering shorts in Euro and Yen. The US Dollar stays in a crowded long.

Interest Rates. Large specs sold 30-year and 10-yr to a net short, and partially covered shorts in 2-yr T-notes. Readings are neutral.