The investible hedge fund index followed by Bank of America Merrill Lynch has outperformed the S&P 500 (INDEXSP:.INX) by 2.14 percent quarter to date. The hedge fund index is down 0.04 percent QTD, which beats the -2.18 percent slide in the S&P 500 index in the same period. The best performing strategies for the quarter have been equity long/short, equity market neutral, and convertible arbitrage. All others, followed by BAML’s hedge fund monitor, have under-performed.
Equity long/short funds have been selling the NASDAQ-100 (INDEXNASDAQ:NDX) and are now net short after two months. Macro hedge funds sold the 10 year treasuries and are now net short on this asset.
Other major highlights in hedge fund trading, with respect to types of equities, has been the exit of the euro from the crowded short zone. Large spec hedge funds covered their short positions in euro by more than 50 percent. Although similar readings have not been observed since September of last year, the outlook for the currency’s future is bearish.
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Hedge funds have continued to buy in the S&P 500 (INDEXSP:.INX) companies for quite some time now, the readings are just at the brink of a crowded long zone. For now, the assets that are held in the crowded long zone are, corn, palladium, crude oil, and 10 year and 30 year treasury notes. Palladium has entered the crowded long for the first time since the mid 2011.
After the exit of euro from the crowded short zone, JPY has moved into the crowded short.