macrocephalopod

Via Goldman Sachs: Last week was the largest active hedge fund deleveraging event since February 2009, with long positions sold and shorts covered in every sector.

@tracyalloway How does that square with such a (relatively) small decline in SPX? Many weeks (40+) with larger % declines in last 12 years. What is the support countering ALL that deleveraging.

Deleveraging does not move the market per se because the same amount of stock is bought (to cover shorts) as sold (to reduce longs). If it leads to denetting (ie selling more longs than shorts) that would put pressure on the market.

So HF didn’t perform any “denetting”? Just deleveraging ? @hkuppy @TeminatorTrader

They reduced net exposure as well (at according to data I’ve seen) but the deleveraging was a much bigger effect, and only visible through the lens of equity long/short fund returns, or quant factors like “short interest” that I’ve posted about a bit already.

Short interest factor (short most shorted stocks, long least shorted stocks)https://twitter.com/macrocephalopod/status/1354767156253229059 …