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Global financial markets declined in September, as interest rates increased and efforts to pass a large stimulus bill remained stalled. Global equity markets declined led by Technology, though declines were spread across most sectors and regions. US interest rates increased on expectations for reduction of bond purchases by the US Federal Reserve as signs inflation continued to build, while the US Dollar gained against most currencies. Energy led commodity gains with Natural Gas surging while Oil prices rose; Metals declines were led by Silver & Copper while Agricultural gains were led by Cotton & Lumber. Hedge Funds and Risk Premia indices posted mixed performance with the HFRX Global Hedge Fund Index declining -0.38% for the month.
HFRX Event Driven Index posted a gain of +0.06% for September, with gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +0.15% as activity in global M&A deals continued. The HFRX Special Situations Index posted a gain of +0.06% from mixed performance in exposure to global catalyst-driven, fundamental value equities.
HFRX Relative Value Arbitrage Index posted a decline of -0.15% for September from declines in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index posted a decline of -0.11% as interest rates increased during the month. The HFRX Convertible Arbitrage Index posted a decline of -0.52% as volatility remained low during the period while yields increased.
HFRX Equity Hedge Index posted a decline of -0.51% for September, from gains in Market Neutral strategies which were offset by declines in Fundamental Growth and Value strategies. The HFRX Market Neutral Index gained +0.12% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Value Index declined -0.49% from large spread in performance from exposure to large-cap US & European equities. The HFRX Fundamental Growth Index posted a decline of -0.67% from gains in idiosyncratic exposure to Emerging Markets which were offset by declines in Developed Market equities.
HFRX Macro/CTA Index posted a decline of -1.24% for September, from declines in Discretionary Thematic and Systematic trend-following managers. Macro Discretionary managers posted declines from exposure to opportunistic Fixed-Income and global multi-asset strategies. The HFRX Macro Systematic/CTA Index posted a decline of -1.10% as the US Dollar rose against currencies and Oil, Natural Gas and Aluminum posted gains while precious Metals declined. Agricultural commodities posted gains for the period led by Lumber & Cotton.
Comments reference performance figures as of September 30, 2021