Managed futures strategies, which are the most active trader of S&P 500 futures, now have the lowest exposure to the index since June 2017, underlining the hedge fund industry’s strong bearish stance towards equity markets, according to a report by Institutional Investor.
Hedge funds’ bearish outlook runs counter to the positive performance of the market in the first quarter of 2023. From January to March, the S&P 500 and Nasdaq indices were up 7%and 16.8%, respectively.
Short sellers, including hedge funds and other investors betting against the market, lost an average of 6.7% over the same period, according to data from S3 Partners.
“[Managed futures] are rarely this negatively exposed to the S&P 500,” said Jon Caplis, CEO at PivotalPath. “You would have to go back to December 2012 to find a slightly lower exposure, and back to 2004 for any sustained lower exposure.”
Overall, hedge funds’ net short position in S&P 500 futures contracts is now at the second-highest level since October 2015, according to a report from NDR, a sister company of Institutional Investor.
