Hedge Funds Beat S&P 500 In January

Feb 4 2014 | 8:29am ET

They both lost ground in January 2014, but hedge funds lost significantly less than did the S&P 500 Index, according to the latest Bank of America Merrill Lynch Hedge Fund Monitor.

The diversified investable hedge fund composite index was down 0.28% as of January 29 compared to a 4.01% loss for the S&P 500. Convertible arbitrage and equity market neutral were the best performing hedge fund strategies last month, up 0.99% and 0.57%, respectively.

BofAML analyst MacNeil Curry said market neutral funds increased their market exposure to 9% net long from 8% net long during the monitored period while equity long/short funds increased their market exposure to 38% net long from 22% net long, in line with their 35-40% benchmark.

Macro funds slightly increased their long S&P 500 exposure, reduced their long NASDAQ and U.S. dollar exposures, sold 10-year Treasuries to a net short and added to their long exposure to commodities. They maintained their large-cap tilt and, overseas, increased their long EM exposure while trimming their short EAFE exposure.

Commodity Futures Trading Commission data shows large equities speculators continued to trim their net S&P 500 and NASDAQ longs while increasing their Russell 2000 longs.

Large agriculture specs trimmed their soybean longs and corn shorts while increasing their wheat shorts.

Metals specs increased their gold and platinum longs while cutting their silver and palladium longs. Energy specs increased their crude longs while trimming their natural gas and heating oil shorts.

Large FX specs increased their euro longs and reduced their yen shorts while increasing their British pound longs and Mexican peso shorts. 

Interest rate specs increased their 10-year Treasury shorts and 30-year Treasury longs while marginally decreasing their 2-year contracts.


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Chicago-based independent futures brokerage and clearing firm R.J. O’Brien & Associates (RJO) has hired industry veteran Daniel Staniford as Executive Director, responsible for the firm’s institutional business development in New York and London.

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