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.


In Depth

Q&A: Schroders’ Forest Discusses Multi-Asset Investments On Eve Of U.S. Launch

Jul 17 2014 | 8:05am ET

Global investment manager Schroders has $446 billion in assets under management, $...

Lifestyle

Einhorns Busts At WSOP, Finishes In 173rd

Jul 15 2014 | 10:48am ET

Greenlight Capital founder David Einhorn’s World Series of Poker won’t end at...

Guest Contributor

Common Risk Parity Misperceptions

Jul 16 2014 | 11:02am ET

Over the past few years, risk parity has become a component of most investors’...

 

Sponsored Content

    Northern Trust Helps Hedge Funds Navigate Derivatives Regulations

    Jul 8 2014 | 10:48am ET

    The surge in derivatives regulation is among the most complex challenges facing the financial services industry today. Northern Trust’s Joshua Satten recently spoke with FINalternatives to share insights into the challenges presented by new regulation and explore how the industry is responding. Read more…

Publisher's Note