You Say Long I Say Short (Credit Suisse)

February 2014

KEYWORDS: Short Selling, long/short equity, global macro, CTA, managed futures, European Union, global financial crisis


Jon Kinderlerer

  • Credit Suisse


Over the last three years Macro/CTA funds have typically run higher levels of net exposure than Long/Short funds. Macro exposure levels vary much more than Long/Short given the directional bias of the strategy. However they have been below Long/Short on only two other occasions – first; for an extended period around the Debt Ceiling/US downgrade in 2011 and second; during the depths of the Euro Crisis in 2012.
This month, Macro/CTA funds have continued to trim exposure and are now almost neutral across developed markets. At the same time Long/Short funds maintained exposure and looking back at the longer history, are close to fully invested.

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