Hedge funds have returned only 0.27% year to date, as of May 1, compared to a 2.17% return for the S&P 500, according to the Bank of America Merrill Lynch Hedge Fund Monitor.
Event-driven funds performed best over the monitored period, adding 1.95%. Macro funds performed worst, shedding 1.48%.
BofAML analyst MacNeil Curry said their models indicate market neutral funds increased their market exposure to 33% net long from 7% net short while equity long/short funds reduced their market exposure to 28% net long from 29% net long, below the 35-40% benchmark.
Macro funds trimmed their short exposure to the S&P 500 while reducing their long exposure to the NASDAQ. They also cut their short exposure to the U.S. dollar to long exposure, increased their long exposure to 10-year. Treasuries and commodities, and trimmed their large-cap tilt. Overseas, they increased their long exposure to EM and EAFE.
Commodity Futures Trading Commission data shows large equities specs covered their S&P 500 positions to a net long, cut their Russell shorts and marginally decreased their NASDAQ longs. Curry said their moving average aggregate indicator suggests specs may add to their Russell shorts.
Metals specs trimmed their gold longs, added to their silver longs, trimmed their copper shorts and increased their platinum longs. BofAML's MAA indicator suggests specs may further increase their copper shorts.
Energ speculators increased their crude longs, cut their natural gas shorts, added to their heating oil shorts and cut their gasoline longs. Curry said the MAA indicator and technicals suggest crude longs may increase further.
FX specs covered their long euro positions to a net short while adding to their yen shorts and British pound longs. MAA suggests a speculative net euro long and a possible further reduction of pound positioning.
Agriculture specs maintained their soybean longs while trimming their corn and wheat longs. MAA and technicals suggest further reductions in corn and wheat longs.
Interest rate specs covered their 2-Year shorts to a net long, increased their 30-year longs and reduced their 10-year shorts. Technicals, said Curry, suggest they will remain short-term bullish 10-year Treasuries.