--> Our models indicate that
* Market Neutral funds’ market exposure decreased to 3% net short from 2% net long;
* Equity Long/Short market exposure decreased to 28% net long from 35% net long.
* Macro hedge funds increased their long exposure to S&P 500, NASDAQ 100, USD, and 10-year treasury, maintained their shorts in commodities, while adding to their shorts in EAFE and EM.
Equities
Large specs reduced their short positioning in the S&P 500 and Russell 2000, and sold their long position in NASDAQ 100 to almost flat. Large specs sold 62,449 NASDAQ 100 E-mini contracts last week, the largest reduction in consolidated net positioning since March 2007
FX
Large specs reduced their net short positioning in EURO and JPY, increased their shorts in AUD and MXN, and bought GBP to a net long for the 1st time since Sept. 2014.
Energy
Large specs reduced their long positioning in Crude Oil and Gasoline, sold Heating Oil to a net short, and reduced their shorts in Natural Gas. Money Managers bought Crude Oil futures last week though.
Interest Rates
Large specs sold 30-yr Treasuries to a net short, reduced their long positioning in 10-yr, but increased their net log in 2-yr.
HF outperformed MTD, led by M/N and Merger Arb
The investable Hedge Fund Composite index was down 2.92% MTD (as of Aug. 26), better than the S&P 500 price return of down 6.69% for the same period. Market Neutral and Merger Arbitrage strategies were the best performers, up 0.25% and 0.17%, respectively. For details, refer to the performance data below