Hedge funds sold S&P 500 contracts at the fastest rate in over three months, upping their net short position to the biggest it has been in more than a year. They also sold off NASDAQ contracts at the fastest rate in over a year, according to Bank of America Merrill Lynch analysts.

Hedge fund positions by strategy

They put out the latest edition of their weekly Hedge Fund Monitor report. In their report, Ankur Singh, Jue Xiong and MacNeil Curry stated that market exposure for Market Neutral hedge funds declined from 25% to 15% long this past week. (Graphs in this article are courtesy BAML.)

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Funds following an Equity Long/ Short strategy increased their net long positions from 29% to 31% this past week. That’s significantly lower than the benchmark level of between 35% and 40%.

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Macro funds cut their long exposures to the S&P 500, the NASDAQ, and the U.S. dollar.

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Macros also reduced their short exposure to 10-year Treasuries, bringing them close to neutral now, and their exposure to short commodities. Internationally, Macro hedge funds upped their short exposure to emerging markets.

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Sales of S&P, NASDAQ were strong

According to BAML, large speculators quickly sold off S&P 500 contracts last week, pushing their positioning to a net short position of -$6.4 billion, down from their previous net long position of $1.2 billion.

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Large speculator hedge funds also rapidly sold off NASDAQ contracts, pushing their net long position in the NASDAQ 100 from $6.1 billion to $3.6 billion.

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Large speculators also cut their net short position in the Russell 2000 from -$3.7 billion to -$2.5 billion.

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The firm also reports that speculative hedge funds decreased their gold long positions at the fastest pace in three months. In fact, this past week marked the third consecutive week of strong sales of gold. The hedge funds cut their long positions from $12.5 billion to $8.5 billion last week.

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Specs also cut their long positions in silver at the fastest rate in over five years. BAML said their indicator suggests sales of these metals may continue. Their long position declined from $3.9 billion to $1.8 billion this past week.

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Hedge funds also sell off crude, yen

It was a bearish market overall for hedge funds last week with strong sales also in crude oil contracts. It marked the second consecutive week in which specs cut their net long positions in crude.

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However, they bought contracts for heating oil, thus cutting their net short positions to the lowest level they have been at since September. MAA data suggests shorts on heating oil and longs on crude could climb.

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In currencies, large specs sold off the Japanese yen for the third week in a row, thus raising their net short positions in the currency. Hedge funds also purchased contracts for the euro at the fastest rate in over a year, thus cutting their net short positions to the lowest they have been year to date. The BAML team suggests that this trend probably won’t continue.

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