Hedge Funds Beat S&P500 In January

Feb 10 2014 | 10:22am ET

Hedge funds “outperformed” the S&P 500 Index in the first month of 2014, but that just meant they lost less ground.

The Bank of America Merrill Lynch Diversified Investable Hedge Fund Composite Index was down 0.28% as of January 29, 2014 versus a 4.01% drop by the S&P 500.

Convertible arbitrage and equity market neutral funds performed best, adding 0.99% and 0.57%, respectively.

BofAML analyst MacNeil Curry said their models indicated market neutral funds increased market exposure to 9% net long from 8% net long over 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 increased their long exposure to the S&P 500 slightly but reduced long exposure to the NASDAQ. They also trimmed their long exposure to the U.S. dollar, sold 10-year Treasuries to a net short and added to their long exposure to commodities. Macros 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 hedge fund equities speculators continued to trim their net S&P 500 and NASDAQ longs but slightly increased their Russell 2000 longs.

Agriculture specs cut their soybean longs, increased their wheat shorts and trimmed their corn shorts.

Metals speculators increased their gold and platinum longs while cutting their silver and palladium longs. Large energy specs increased their crude longs and cut their natural gas and heating oil shorts.

FX specs increased their euro and British pound longs, cut their yen shorts and added to their Mexican peso shorts.

Large interest rate specs increased their 10-year Treasury shorts and their 30-year longs while marginally trimming their 2-year contracts.


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Editor's Note