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Among U.S. active manager positioning across fund types, market neutral hedge funds and growth mutual funds are the only overweight, according to a UBS global equity strategy report on tactical indicators.
“Positioning is estimated using our proprietary database of around 900 mutual funds with assets under management of about $11T across U.S. equity mutual funds, asset allocation funds, as well as using hedge fund indices,” said strategist Sean Simonds.
Market neutral hedge funds measured almost 2 z-score — which describes the distance in terms of standard deviations from the mean value — and growth mutual funds measured about 1. Those were the only overweight fund types.
- Examples of market neutral hedge funds include BlackRock Global Equity Market Neutral Fund A (MUTF:BDMAX); JPMorgan Research Market Neutral Fund A (MUTF:JMNAX); PIMCO RAE Fundamental Advantage PLUS Fund A (MUTF:PTFAX); Gotham Neutral Fund (GONIX); and Crossmark Steward Equity Market Neutral Fund A (SMNAX).
- Examples of growth mutual funds include Brown Capital Management Small Company (BCSIX); Morgan Stanley Institutional Discovery (MPEGX); Primecap Odyssey Aggressive Growth (POAGX); and Principal Blue Chip (PGBHX).
Small cap and value mutual funds were the ones most underweight.
- Small cap mutual funds, -4 z-score – Examples include: Boston Trust Walden Small Cap (BOSOX); Brown Capital Management Small Company (BCSIX); Champlain Small Company (CIPSX); DFA U.S. Micro Cap (DFSCX); Dimensional U.S. Small Cap ETF (DFAS); and LSV Small Cap Value (LSVQX).
- Value mutual funds, -3.5 z-score – Examples include: American Funds American Mutual (AMRMX); Diamond Hill Large Cap (DHLYX); Dodge & Cox Stock (DODGX); Harbor Mid Cap Value (HAMVX); John Hancock Disciplined Value Mid Cap (JVMIX); and JPMorgan Equity Income (OIEJX).
Others were:
- Balanced funds, -2 z-score – Examples include: T. Rowe Price Capital Appreciation (TRAIX); American Funds American Balanced (AMBFX); Vanguard Balanced Index (VBAIX); American Funds Mod Growth & Income (BLPEX); and MSF Total Return (MTRIX).
- Blend mutual funds, -2 z-score – Examples include: Vanguard Total Stock Market Index Fund (VTSMX); Vanguard 500 Index Fund (VFINX); Fidelity 500 Index (FXAIX); Vanguard Small Cap Index (NAESX); Fidelity Small Cap Index (FSSNX); and T. Rowe Price Small Cap Value Fund (PASVX).
- Mid cap mutual funds, -2 z-score – Examples include: The Vanguard Mid-Cap Index Fund Admiral Shares (VIMAX); BNY Mellon MidCap Index Fund Investor Shares (PESPX); Fidelity Mid Cap Index Fund (FSMDX); and Columbia Mid Cap Index Fund Class A (NTIAX).
- Composite beta funds, -1 z-score – Examples include: Invesco S&P 500 High Beta ETF (SPHB); Fidelity Nasdaq Composite Index (ETF); SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM); and Direxion Daily S&P 500 High Beta Bull 3X Shares ETF (HIBL).
- Long-short equity hedge funds, -1.5 z-score – Examples include: AQR Long-short Equity Fund (QLEIX); Federated Hermes MDT Market Neutral (QAMNX); Nuveen Equity Long/Short Fund (NELAX); Toews Hedged U.S. Fund (THLGX); and AB Select U.S. Long/Short Portfolio (ASLAX).
- U.S. equity mutual funds, -1 z-score – Examples include: Vanguard Total Stock Index (VTSMX); Fidelity 500 Index (FXAIX); American Funds The Growth Fund of America (CGFFX); JPMorgan U.S. Equity Fund A (JUEAX); and The Hartford Dividend and Growth Fund A (IHGIX).
- Large cap mutual funds, -1 z-score – Examples include: Loomis Sayles Growth N (LGRNX); Vanguard Growth ETF (VUG); Vanguard Russell 1000 Growth ETF (VONG); Fidelity Large Cap Growth Index (FSPGX); and iShares Russell 1000 Growth ETF (IWF).
- Macro and CTA (commodity trading advisor) hedge funds, -0.5 z-score – Examples include: Gresham ACAR Quant; AlphaSimplex Managed Futures Strategy Fund; RL One (SP500 Long/Short); BlackBird Alpha Spread; and CFM ISTrends Equity Capped Fund.
- Broad cap mutual funds, -0.5 z-score – Examples include: Dow Jones Industrial Average (DJI); SPDR S&P 500 ETF Trust (SPY); and Vanguard Total Stock Market Index Fund ETF Shares (VTI).
