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In September, global financial markets gained despite the escalation of military conflicts in Eastern Europe & the Middle East. Positive performance can be partly attributed to the US Federal Reserve’s decision to lower interest rates, prompting investors to position themselves for further rate cuts. Technology and cyclicals led global equity market gains, while healthcare and energy sectors led declines. As interest rates decreased due to the Fed’s response to moderating inflation, the US Dollar weakened against most currencies. Natural Gas led all commodity performance while other commodities had mixed performance. Copper, Silver, and Sugar led commodity gains, while Oil led declines.

Hedge Funds gained for the month led by Macro strategies, with the HFRX Global Hedge Fund Index gaining +0.95%.

HFRX Macro/CTA Index gained +1.85% for the month from gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +1.99% as the US Dollar weakened against most currencies, and commodities saw a somewhat mixed performance. Natural Gas, Sugar, Corn, and Copper led commodity gains. Oil and Cocoa led commodity declines.

HFRX Relative Value Index gained +1.11% for September from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Fixed Income Convertible Arbitrage Index gained +1.83% as volatility rose in September. The HFRX RV: Multi-Strategy Index gained +1.05% as interest rates declined in September.

HFRX Equity Hedge Index gained +0.76% for the month from gains in Fundamental Growth and Value strategies partially offset by declines in Market Neutral Strategies. The HFRX Fundamental Growth Index gained +0.94% from gains in exposure to small-cap US and European equities. The HFRX Fundamental Value Index gained +0.78% from gains concentrated in large-cap US and European equities. The HFRX Equity Market Neutral Index declined -0.35% from declines in mean reverting, factor-based strategies.

HFRX Event Driven Index gained +0.49% for September from gains in Special Situations managers offset by declines in Merger Arbitrage strategies. The HFRX Special Situations Index gained +0.56% from gains in exposure to global catalyst-driven fundamental value equities. The HFRX Merger Arbitrage Index declined -0.55% for the month as global equity markets were volatile in September.

Comments reference performance figures as of September 30, 2024