Macro/CTA Net Exposure Falls: The Long And Short Of It All

Macro/managed futures (CTA) funds have had much higher levels of net exposure than their long/short counterparts over the last few years, dropping below them only during the US debt ceiling fight in 2011 and the Euro Crisis in 2012, but it has fallen sharply in recent weeks and is now approaching negative net exposure. “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,” writes Credit Suisse analyst Jon Kinderlerer. Macro/CTA have higher variance than…