A collection of 20 stocks that represents the most concentrated and most popular stocks among hedge funds substantially underperformed the S&P500 Index in the third quarter, new analysis shows.

Research by Bank of America Merrill Lynch shows that "HF Generals" a model portfolio of these 20 stocks was down 21.53% in the third quarter, compared to the S&P 500, which fell 14.33%. It said that these underperformance came because the basket of popular hedge fund stocks was heavily overweight in small-caps and the healthcare sector, both of which were badly hit in a global sell-off.