Hedge Funds Trail S&P 500 In April

May 5 2014 | 2:35pm ET

Hedge funds trailed the S&P 500 Index in April, with the Bank of America Merrill Lynch Hedge Fund Composite Index adding 0.38% to the broader index's 1.93%.

Equity market neutral and event driven funds were the best performers last month, adding 2.65% and 2.12%, respectively.

BofAML analyst MacNeil Curry said market neutral funds trimmed market exposure from 10% net long to 7% net long while equity long/short funds trimmed exposure from 44% net long to 39% net long, in line with the 35-40% benchmark.

Macro funds increased their long exposure to the S&P500 and NASDAQ; reduced their exposure to  the U.S. dollar to hold short exposure and reduced their long exposure to 10-year Treasuries. They also decreased their long exposure to commodities and increased their large-cap tilt. Overseas, they decreased their long exposure to EM and their long exposure to EAFE.

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

Large agriculture specs increased their soybean, corn and wheat futures while metals specs added to their gold shorts, trimmed their copper shorts and silver longs, cut their platinum longs and added to their palladium longs.

Energy specs cut their crude longs, increased their natural gas shorts, cut their heating oil shorts and added to their gasoline longs.

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

Interest rate specs cut their 10- and 2-year short but added to their 30-year longs.


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Editor's Note