Focus of the day:
"We evaluate positioning across investor segments and asset classes to better understand what may have driven price movements throughout the market volatility. We see compelling reasons for the relative outperformance of equity to continue , while our rates strategists see value at current levels in the US 10y. Cleaner positioning suggests that fundamentals, rather than technicals, should drive asset prices henceforth.
1- Asset allocation funds are underweight bonds, neutral equities and overweight cash.
2- Bond funds have cut their beta exposure back to average levels and have modestly outperformed the benchmark, unlike during the taper tantrum of 2013.
3- Relative value hedge funds also reduced bond exposure considerably and absolute performance has been flat through the volatility.
4- Aggregate equity positioning is close to neutral, with hedge funds overweight and mutual funds underweight; net call option exposure has been pared, suggesting hedge fund exposure is being reduced. Europe positioning is again very underweight amid Greek fears.
5- Sector positioning is now less defensive and more cyclical, with financials a sizeable overweight.
6- Yen positioning had an extreme increase in net shorts; after being pared, US dollar positioning is still very long.
7- Gold and silver net longs increased, despite the rise in real yields."
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