Hedge Funds Lag S&P 500 QTD

Jun 2 2014 | 12:24pm ET

The Diversified Investible Hedge Fund Composite Index was up 0.36% as of May 28 compared to a 1.38% gain for the S&P 500, according to new data from Bank of America Merrill Lynch.

The best-performing hedge fund strategies were CTAs, which added 1.59% over the monitored period.

BofAML analyst MacNeil Curry said their models show market neutral funds trimmed their market exposure to 24% net long from 26% net long while equity long/short funds increased their market exposure to 31% net long from 25% net long, below the 35-40% benchmark.

Macro funds increased their long exposure to the S&P500 and NASDAQ, added to their U.S. dollar longs but cut their commodity longs. They decreased their long exposure to 10-year Treasuries and their large-cap tilt. Overseas, they decreased their long exposure to EM and EAFE.  

Commodity Futures Trading Commission data for the monitored period shows large equities speculators trimmed their S&P 500 and Russell shorts and added to their NASDAQ longs. Curry said their moving average aggregate indicator suggests further S&P 500 buying.

Large metals specs cut their gold and silver longs, marginally cut their copper shorts and increased their palladium longs. The MAA and technicals suggest a further reduction in gold longs.

Energy specs increased their crude longs and natural gas shorts while cutting their heating oil shorts and gasoline longs. MAA and technicals suggest gasoline longs may be increased.

Large FX specs added to their euro and yen shorts and trimmed their Australian dollar longs while adding to their British pound and Mexican peso longs. Curry said MAA and technicals suggest there may be a further increase in euro shorts.

Agriculture specs increased their soybean longs but cut their long positioning in corn and wheat. MAA and technicals suggest wheat and corn longs should be reduced further.  

Interest rate specs reduced their 10-year Treasury shorts to a near 10-month low. Technicals suggest the long-term bear trend may be resuming. They also increased their 2-year longs and decreased 30-year longs.  


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