Macro-style hedge funds are short stocks and long yen in positions that will benefit from a large risk-off move.
The stock rally, after an almost belief-defying recovery given the still uncertain backdrop - not least the fiscal consequences of the tax bill that just passed - has run out of steam. Hedge funds are far from confident the rebound will last, with the sensitivity of the returns of macro funds, based on Hedge Fund Research’s Macro/CTA index, to the S&P’s returns becoming much more negative.
