The TMT sector leads the largest net selling in the U.S. on record this month – GS

Hedge funds’ momentum exposure is expected to decrease for the first time in six months, according to a Prime Insights & Analytics Chart Pack report.

It is now in the 72^nd percentile on a five-year lookback, compared to in the 91^st percentile at the end of May, analysts headed by Vincent Lin and Kartik Singhal wrote.

In addition, exposures to long concentration and long “crowdnedness” have seen a notable decline and are at the lowest levels year-to-date.

This suggests that “L/S (or long/short) managers have become more mindful of a potential drawdown in those factors after experiencing strong returns year-to-date,” analysts said.

When it comes to the U.S., hedge funds have aggressively net sold technology, media, and telecommunications stocks (BATS:IYZ) in the past month, led by semiconductors (SMH), (SOXX), (FTXL), (XSD), (USD), (PSI), (SEMI) and semi equipment (SP500-4530), reversing the year-to-date trend.

“This month’s [U.S. dollar] net selling in U.S. TMT is tracking to be the largest on our record,” analysts said.

Managers have also reduced net length in consumer discretionary (XLY), (VCR), (FXD), (FDIS), (RSPD), (RXI), and staples (XLP), (VDC), (IYK), (FSTA), (KXI), (RSPS), driven by short sales.

Lastly, net flows have continued to diverge between energy (XLE), (AMLP), (VDE), (XOP), (OIH), (IXC), the most net bought sector month-to-date; and materials (XLB), (VAW), (IYM), (FXZ), (MXI), (RSPM), seeing the fourth straight month of net selling.