Hedge Funds Still Trail S&P 500

Mar 19 2013 | 11:31am ET

Hedge funds continue to trail the stock market, with the global diversified hedge fund index adding 0.65% to date in March compared to a 2.63% gain for the S&P 500.

According to the latest Bank of America Merrill Lynch Hedge Fund Monitor, CTAs were the best-performing strategies as of March 13, adding 1.27%. Market neutral funds were the worst performers, remaining flat for the monitored period.

BofAML analyst Mary Ann Bartels said their models show market neutral funds held market exposure steady at 9% net long during the monitored period while equity long/short sold market exposure to 28% from 35% net long, below the 35-40% benchmark.

Macro funds aggressively sold the NASDAQ 100  and commodities, sold 10-year Treasuries, slightly bought the S&P 500, partially covered their shorts in EM and EAFE, and continued to cover their shorts in  the U.S. dollar. Bartels said macro funds were flat commodities for the first time since January 2013.

A look at Commodity Futures Trading Commission data shows large speculators continued to buy the S&P 500 and NASDAQ 100 futures, yet sold the Russell 2000.

Large agriculture specs bought soybean and corn and partially covered their shorts in wheat while metals speculators bought gold and palladium, sold silver and platinum and were flat copper.

Energy speculators sold crude and heating oil, were flat natural gas and sold gasoline out of a crowded long. Forex specs bought the US dollar, partially covered the euro and added to their shorts in yen. Interest rate specs added to their shorts in 30-year Treasuries, and sold 10- and 2-year Treasuries.

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