Hedge Funds Beat S&P 500 In First Quarter

Apr 14 2014 | 3:11am ET

The Hennessee Hedge Fund Index lost 0.48% in March, however year-to-date the index is up 1.5%, beating the S&P 500 which gained 1.3% over the same period. Meanwhile, the Dow Jones Industrial Average rose +0.83% in March (-0.72% YTD), and the NASDAQ Composite Index declined 2.53% during the month (+0.54% YTD).  Bonds were negative on the month, as the Barclays Aggregate Bond Index decreased 0.17% (+1.84% YTD).

“Momentum names in the NASDAQ were hit hard in March, reducing hedge fund performance as the reduction of fed bond purchases increased concerns that the 10-Year was heading above 3%,” said Charles Gradante, co-founder of Hennessee Group.

According to the index, the top three strategies for the month of March were Latin America, which gained 3.51%, high yield, which rose 1.36%, and convertible arbitrage, which was up 1.15%.

The worst performing strategies for the month were technology, which lost 2.74%, international, which was down 2.03%, and macro, which dropped 1.44%.

"Risk assets were mostly higher even as volatility, measured by the VIX, increased from February’s month end value of 14 to an intra-month high over 17.5.” added Gradante.  "Hedge fund managers had a difficult time weathering the back and forth direction of the market during March.”

Equity long/short hedge funds were negative in March, as the Hennessee Long/Short Equity Index dipped 0.3% (+2.59% YTD).  The best performing sectors were telecommunication services (4.67%), utilities (3.09%), and financials (3.08%), while underperforming sectors were consumer discretionary (-2.93%), health care (-1.37%) and information technology (+0.21%).  The utilities sector is now the best performing sector for the year having gained 9.02% YTD through March, while consumer discretionary is bringing up the rear, having lost 3.16% YTD through March.

“Managers are not changing their net long bias as there is no competition for equities and stock buybacks continue reducing supply,” said Gradante. “However, hedge fund managers reduced exposures to high beta stocks in March.”


In Depth

AIMA: Smaller Firms Remain the Lifeblood of the Hedge Fund Industry

Jul 26 2017 | 5:55pm ET

It is a hedge fund industry truism that the largest managers receive the most attention...

Lifestyle

CFA Institute To Add Computer Science To Exam Curriculum

May 24 2017 | 9:25pm ET

Starting in 2019, financial industry executives sitting for the coveted Chartered...

Guest Contributor

Rastegar: PE Real Estate Gains Momentum as Uncertainty Rises

Jul 21 2017 | 6:04pm ET

The steady march of equity markets and fundamental shift in the direction of Fed...

 

From the current issue of