The surprising hedge fund strategy that's beating the market

Humbling of hedge funds

A simple but elusive strategy has been beating the market this year: Just own what the hedge funds don't.

Stocks with the lowest concentration in hedge fund portfolios as measured by equity capitalization have crushed the this year, according to a Goldman Sachs analysis. The "low-concentration" basket has turned in a basically flat performance that while unspectacular far outdistances the market index, which is down 6 percent year to date.

That means owning stocks such as Realty Income, Exxon Mobil, 3M and Reynolds American, all of which have a comparatively low concentration in hedge fund portfolios, has been a better deal than holding Legg Mason, Autodesk, Williams Cos. and Tenet Healthcare, companies that are popular with managers.

Read MoreWhy hedge funds' pain could be your gain

The latter group, or most concentrated stocks, has performed miserably, dropping about 10 percent year to date, according to Goldman.