Goldman Sachs issues a Hedge Fund Trend Monitor every quarter, which analyzes 708 hedge funds with $1.5T in gross equity ($1T long and $509B short).
Worth noting, this is one of the most read reports by institutional investors, given the firm's in-depth analysis of the top hedge fund positions based on 13-F filings, as of 8/15.
On average, hedge funds are up just 4% YTD as of 8/9 with a quarter of the funds posting losses. This compares with a 20% return from simply investing in the S&P 500 ( SPX ) or the average large cap mutual fund. While top long positions have outperformed the indices, short positions have negatively impacted hedge fund returns.
At the portfolio level, GS estimates that turnover is at 30%, which is very low. In fact, for the top 25% of positions, turnover was even less, coming in under 20%.
According to the report, net short positions are in Emerging Market equities (EM), volatility (VIX), gold ( GLD ), and high-yield bond ETFs. Note, hedge funds generally use ETFs as a hedge (versus a directional bet).
Bottom line, the top 10 long holdings across the 13-F filings aggregated by GS are American International Group ( AIG ), Google ( GOOG ), Apple ( AAPL ), General Motors (GM), Citigroup (C), Microsoft (MSFT), Charter Communications (CHTR), Priceline (PCLN), Hertz (HTZ), and Twenty-First Century Fox (FOXA).
SPX 1634.25 016.25 -0.98
EEM 37.52 -0.07 -0.19
VIX 15.94 +1.03 +6.91
GLD 132.14 +0.07 +0.05
AIG 46.68 -0.04 -0.09
GOOG 869.32 -0.01 -0.00
AAPL 502.00 -0.36 -0.07
GM 34.53 0.00 0.00
C 49.06 -0.10 -0.20
MSFT 31.61 0.00 0.00
CHTR 123.23 0.00 0.00
PCLN 940.20 0.00 0.00
HTZ 24.93 +0.24 +0.97
FOX 31.53 -0.01 -0.03
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