Hedge Funds Beat S&P In First Week Of March

Mar 12 2014 | 12:34pm ET

Hedge funds beat the S&P 500 during the first week of March, according to the Bank of America Merrill Lynch Hedge Fund Monitor.

The BofAML diversified investible hedge fund composite index was up 1.51% as of March 5 versus 1.38% for the S&P 500.

Event-driven strategies were the best performers over the monitored period, adding 3.35%.

Analyst MacNeil Curry said their models indicate that market neutral funds kept their market exposure at 11% net long while equity long/short funds increased theirs from 27% to 37% net long, below their 35-40% benchmark.

Macros maintained their long exposure to the S&P500, reduced their short exposure to the NASDAQ, added to their U.S. dollar and 10-year Treasury shorts, transformed their long exposure to commodities to short exposure and slightly decreased their large-cap tilt. Overseas, they decreased their EM and EAFE short exposures.  

Commodity Futures Trading Commission data for the monitored period shows large equities specs covered their S&P 500 shorts and are now net long, maintained their NASDAQ longs and added to their Russell 2000 longs.

Agriculture specs increased their soybean, corn and wheat longs while metals specs added to their gold, platinum and palladium longs, marginally decreased their silver longs and added to their copper shorts.

Large energy speculators increased their crude and gasoline longs and their natural gas shorts.

FX specs increased their euro and British pound longs, trimmed their yen shorts and added to their Australian dollar shorts.

Interest rate specs increased their 10-year Treasury shorts, decreased their 30-year longs and increased their 2-year longs.


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