Absent a huge rally to end the month, the relatively modest advance in the U.S. stock market in April is unlikely to go into the history books with much fanfare. It is, however, shaping up to be one of the roughest months of the bull market for those who have borrowed shares and piled into some of the most in-demand short positions, according to data and research firm Markit Ltd.

The top 10 percent most-expensive U.S. stocks to borrow have beaten the market by more than 3.5 percent so far this month (which is obviously not what you want to see happen when you're short a stock). That's the biggest outperformance since April 2009, when the bull market was still just a wee calf, according to Markit analyst Simon Colvin.

Months like this tend to be an anomaly, as Markit's data shows that the stocks which are most expensive to borrow tend to underperform the market in more than three out of four months on average. Over the last five years, they've trailed the market by a cumulative 70 percent.

Expensive small-cap shorts have underperformed even worse, to the tune of more than 90 percent over the last five years.

Still, as you've probably heard or can imagine, short-focused hedge funds have been struggling in this bull run. Despite relative underperformance, the most-expensive large-cap shorts are still up by more than 60 percent in the past five years, according to Colvin, who said it "shows that the runaway market is largely to blame for the lackluster performance from short-biased funds."

David Fuller's view

Hedge funds of the long/short variety understandably do best in choppy markets which produce some significant moves in both directions.  However, you have to think about your environment.  If the world remains mostly awash with liquidity, as is still the case today, downside moves may be sharp for a few days before markets mostly bounce back even more strongly.  Moreover, markets such as the S&P 500 Index can stay in persistent uptrends for lengthy periods.

Two of the oldest rules in the business are apt:

1) Don’t fight the Fed (or any other central bank).

2) Run with the trend.