Hedge Funds Trail S&P 500

Apr 28 2014 | 1:34pm ET

Hedge funds have underperformed the broader market, month to date, according to the Bank of America Merrill Lynch.

The Diversified Investible Hedge Fund Composite Index was down 0.49% as of April 23 versus a 0.16% gain for the S&P 500.

Equity market neutral funds performed the best during this period, adding 0.58% while equity long/short funds performed the worst, shedding 0.96%.

BofAML analyst MacNeil Curry said market neutral funds increased market exposure to 10% net long from 6% net long over the monitored period while equity long/short funds increased market exposure to 44% net long from 37% net long, above the 35-40% benchmark.
 
Macro funds slightly increased their long exposure to the S&P 500 and NASDAQ, maintained their neutral exposure to the U.S. dollar but increased their long exposure to 10-year Treasuries. Macros also trimmed their long exposure to commodities and marginally reduced their short-cap tilt. Overseas, they decreased their long exposure to EM and decreased their long exposure to EAFE.

According to Commodity Futures Trading Commission data, large equities speculators covered their S&P 500 shorts, reduced their NASDAQ longs and increased their Russell 2000 shorts last week.

Agriculture specs cut their soybean, corn and wheat longs. Large metals specs increased their gold, silver and platinum longs while maintaining their copper shorts and palladium longs.

Energy specs trimmed their crude longs and heating oil shorts while adding to their natural gas shorts and gasoline longs.
 
FX specs trimmed their euro, British pound and Mexican peso longs, added to their Australian dollar longs and trimmed their yen shorts.

Interest rate specs decreased their short positions in 10- and 2-year Treasuries while reducing long their 30-year longs.


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Editor's Note