Hedge Funds Add 3.26% In Q1, Lag S&P 500

Apr 2 2013 | 11:49am ET

Hedge funds underperformed the S&P 500 in Q1 2013, with the global diversified hedge fund index gaining 3.26% to the stock index's 10.03%.

For the month of March, according to analyst Stephen Suttmeier in the latest Bank of America Merrill Lynch Hedge Fund Monitor, hedge funds were up 0.64% while the S&P 500 was up 3.24%.

Event-driven and equity long/short were the best-performing strategies last month, adding 1.45% and 1.29%, respectively. The worst performers were market neutral strategies, down 0.13% on the month.

Suttmeier says their models indicate that market neutral funds aggressively sold market exposure to 2% net long from 7% net long over the monitored period while equity long/short funds sold market exposure to 23% from 28% net long, well below the 35-40% benchmark. Macros sold the S&P 500, NASDAQ 100 and 10-year Treasuries; bought commodities; and aggressively bought the U.S. dollar to a slight net long for the first time since January 2013. In addition, they partially covered EM but maintained their shorts in EAFE.

Large equities speculators sold both the S&P 500 and Russell 2000 while remaining flat NASDAQ 100 futures. Agriculture specs bought soybean and corn and partially covered their shorts in wheat.

Metals speculators sold gold and silver, were essentially flat platinum and palladium, and added to their shorts in copper. Gold moved out of a buy zone as silver moved in and palladium stayed in a crowded long. Large energy specs bought crude oil and gasoline, sold heating oil and partially covered natural gas.

Foreign exchange specs held U.S. dollars steady in a crowded long while adding to their shorts in euros and yen. Interest rates specs covered 30-year Treasuries, and bought 10- and 2-year Treasuries.

In Depth

Related-Company Fees: Normal Industry Practice or Conflicted Compensation?

Nov 11 2015 | 4:23pm ET

Regulatory agencies as well as investors are increasingly exploring whether certain...


Ferrari Roars in Wall Street Debut

Oct 21 2015 | 4:28pm ET

Shares of supercar maker Ferrari jumped as much as 15 percent to a high of nearly...

Guest Contributor

Private Debt - What is the Opportunity?

Nov 11 2015 | 3:28pm ET

In this contributed article, Rob Allard, founding partner of Firebreak Capital...


Editor's Note

    Oct 21 2015 | 10:41am ET

    One of the most unique charity benefits in the hedge fund industry, A Leg To Stand On's (ALTSO's) Hedge Fund Rocktoberfest - NYC, raised nearly $500,000 last Thursday thanks to the generous support of major sponsors and nearly 1,400 attendees from the Tri-State finance, business and hedge fund communities. Read more…