(MS) July ’14 European Market Colour

July ’14 European Market Colour - PDF ATTACHED

1/ In Europe, average gross exposure (for European focused Equity L/S Funds) dropped -1.06% in July via a greater MoM fall in long exposure than the rise in short exposure (-2.61% and +1.36% respectively). This combined decrease in long exposure and increase in short exposure led to the continued MoM reduction in net leverage (-11.35%), ending July at a 20 month low of 39%. Gross leverage levels ended the month at 173% after decreasing -0.53% MoM.

2/ Globally, exposure to Europe decreased on both the long and short side (-4.30% and -2.57% respectively), causing the European L/S ratio to fall -1.8%. Global gross exposure to Europe dropped -3.68% in July as a result. The larger MoM fall in long exposure versus short exposure led to the decrease in net exposure (-6.45%). In July the MSCI Europe fell -1.6%.

3/ Average equity trading volumes were subdued in July, increasing by 1.0% MoM. Similarly, the 20-day average increased +0.7% MoM. However, average trading levels still remain at 51% above the entire period average since Jan 2011. The standard deviation of these daily volumes increased +9.2% versus the previous month.