According to DB on the whole, neither real money or hot money have participated in the risk rally of late. Reply

The Investor Positioning and Flow report is worth reading.  It notes “With the S&P 500 up almost 10% since early June, investors are assessing the sustainability of the risk rally. Our measures show that equity positioning has been fairly flat since mid-June: mutual fund managers have remained neutral while macro hedge and long-short equity funds have stayed underweight. The equity rally has largely been driven by real money inflows: equity inflows of $16bn since early June, compared to $4bn during last year’s post-LTRO rally (Nov-Feb). As we have discussed (“After the Rally”, March 26, 2012), equities should continue to get inflows absent new negative shocks; when the VIX has been below 24, equities have almost always seen inflows…Macro hedge fund beta has moved up only modestly and is still very short; Long-short equity funds have remained 4-7pp underweight since June; Mutual funds have maintained positioning close to neutral; Hybrid funds have cut back exposure over the last 2 weeks toward neutral; Energy is the large, consensus underweight for MFs and HFs; Discretionary and Materials the consensus overweights; Positioning shifts in regional and global funds have been larger than those in US funds and may have been a bigger driver of price movements… Fund managers could chase returns and raise exposures to “catch up” as they have in the last 2 years; mutual funds trail the S&P 500 by 1pp on avg YTD while returns for macro funds (flat) and L-S equity funds (2%) are weak.

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