BofA Merrill Lynch strategist Mary Ann Bartels is out with her quarterly hedge fund monitor this week, taking a look at what the funds did in Q4.
The biggest takeaway, according to Bartels: “Hedge Funds are fully invested with cash levels down to 4.6% in 4Q’12.”
Below is the key section from the BAML report:
Based on the quarterly 13F filings and estimated short positions of the equity holdings of 895 funds, we estimate that hedge funds raised net exposure by 10% to $418 billion notional in 4Q12 – setting a new record. Percentage-wise, we put equity net exposure at 55% at the end of 4Q12, compared to the 2Q07 peak of 59%.
Gross exposure rose by 1.8% to $1150bn notional in 4Q12. Percentage-wise, gross exposure stayed at about 150%.
Meanwhile, cash holdings fell to 4.6% from 5.0%, below the historical average of 8-10% but above the 2007 trough of 4.3%.
The chart below shows cash holdings, which keep inching downward:
Photo: BofA Merrill Lynch Global Research, LionShares
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