Asset managers are unloading futures on S&P 500 equities fast and furiously while cutting their long futures positions in the NASDAQ 100 and upping their shorts in the Russell 2000. They also upped their long positioning in 10-year Treasury notes but flipped to a net short position on two-year notes.

S&P 500 futures sales hit $14.5 billion

Bank of America Merrill Lynch analysts Jue Xiong and Stephen Suttmeier released the latest edition of their “Futures and HF Positioning Report” on Jan. 9. They report that asset managers sold $14.5 billion of the S&P 500 last week, which was the most since August 2015. Leveraged funds cut their short positioning by $0.7 billion to -$30.4 billion.

S&P 500 Futures

They reported that the total open interest on S&P 500 futures approached the lowest level in three years at the 1.9 percentile.

Looking at the NASDAQ 100, asset managers and institutional investors cut their long positions by $2 billion, bringing it down to $9.2 billion, while leveraged funds cut their long positions $0.9 billion, bringing it to $4.1 billion.

S&P 500 Futures

Both asset managers and institutional investors upped their short positioning in the Russell 2000 by $0.9 billion, bringing it to -$7.4 billion, while leveraged funds upped their short positions by $0.3 billion to -$5.2 billion.

S&P 500 Futures

Flip-flopping on U.S. Treasuries

Asset managers and institutional investors upped their long positions in Treasury bond futures to $10.5 billion, while leveraged funds sold $1.5 billion and flipped over to a net short position of $1.2 billion.

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BAML also reported that positioning in “other reportables” on U.S. Treasuries is closing in on a three-year low at the 2.5 percentile.

Asset managers and institutional investors added $7.3 billion to their net long positions in 10-year Treasury notes, bringing that position to $28.8 billion. Meanwhile leveraged funds went further short, bringing their position to -$24.1 billion.

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On two-year notes, asset managers and institutional investors flipped from a net long to a net short positioning by selling $5.2 billion worth of the notes, bringing their net short position in the asset to -$0.5 billion. Leveraged fuds also flipped from net long to net short on two-year Treasuries to -$0.2 billion. The one-year z-score was still lower than two for leveraged funds, reports BAML.

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Macro hedge funds move to short on NASDAQ 100

The firm reports that Market Neutral funds increased their market exposure significantly from 3% net short to 2% net long.

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And here are what Market Neutral hedge funds’ returns look like on an annualized basis:

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Equity Long/ Short funds upped their exposure from 28% long to 31% long.

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And here are what Equity Long/ Short hedge funds’ returns look like on an annualized basis:

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Macro hedge funds sold off NASDAQ 100 equities to mark the first time since late October when they reached a net short position.

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Macro hedge funds also cut their long exposure to the S&P 500:

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They also cut their longs in the U.S. dollar, maintained their commodities short position and, interestingly, purchased 10-year Treasury notes.

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All graphs and charts are courtesy Bank of America Merrill Lynch.