Hedge Fund S&P 500 Long Positions Hit Record High: BAML

hedge funds S&P 500 Russell 2000 NASDAQ 100 long positions hit record

Hedge funds seem to be brushing off concerns over Cyprus and are bullish on equities. BAML is out with their latest hedge fund monitor. The most notable take away from the report is how bullish hedge funds are.

Hedge fund S&P 500 futures increased from $19.4 billion last week to $22.0 billion (notional) last week. Readings are at a record high. The S&P 500 is not the only index at a record level. Hedge funds increased their long position by $500 million in the NASDAQ 100 futures to a record $5.7 billion (notional). Although the report says that NASDAQ 100 is at a record high, the chart (above) seems to indicate that it is below higher levels reached three prior times. Finally, hedge funds bought Russell 2000 futures to a net long of $3.7 billion notional last week. The report states that this highest since 2002 and a record level, so if the Russell 2000 is at a record level also remains unclear.

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However, what is clear is that hedge funds are extremely bullish . The latest report comes only weeks after BAML’s hedge fund monitor showed hedge fund leverage nearing record levels.

Some other notable data from the report:


The investable HF composite up 0.67% month-to-date The investable hedge fund composite index was up 0.67% month-to-date as of March 20, compared to a price return of 2.91% for the S&P 500 index. Event Driven and Equity Long/Short performed the best, up 1.48% and 1.40%, respectively. Market Neutral performed the worst and was down 0.05%.

Hedge Fund positioning by major strategies

BAML models indicate that Market Neutral funds sold market exposure to 7% net long from 9% net long. Equity Long/Short held market exposure steady at 28% net long, below the 35-40% benchmark. Macros sold the S&P 500, bought the NASDAQ 100, commodities & 10-year Treasuries, and maintained their shorts in the dollar. In addition, they partially covered EM but added to their shorts in EAFE.

Significant HF moves in FX, commodities, and treasuries based on CFTC data

Gold and silver: Funds sold Silver down to levels near the buy zone. However, they bought Gold out of a buy zone.

FX: Funds aggressively bought the US dollar to a crowded long for the first time since Sept.’ 12 (this is hardly surprising based on what we have reported earlier). hedge funds partially covered Yen, and added to their shorts
in Euro.

Agriculture: Large specs sold soybean, bought corn, and partially covered their shorts in wheat. Wheat moved out of a crowded short.

Metals: Large specs bought gold, sold silver, platinum & palladium, and added to their shorts in copper. Gold remains within the edge of a buy zone; Palladium stays in a crowded long; Silver is approaching a buy zone.

Energy: Large specs sold crude oil & heating oil, partially covered natural gas, and flat gasoline. Crude remains in a crowded long.

Interest Rates: Large specs added to their shorts in 30-year Treasuries, partially covered 10-year and sold 2-year Treasuries.