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Hedge Fund Performance Retreats In September After Strong Summer

Hedge funds dipped negative in September, according to data published by eVestment. Industry-wide average performance stood at -1.01% in September, putting year-to-date (YTD) industry performance at just +1.04%. The retreat comes after a five-month string of positive results from April to August, which pulled the hedge fund industry out of the performance hole created in the first quarter of the year as the Covid 19 pandemic ramped up.

Only about 36% of hedge funds around the world were able to produce positive results in September, according to eVestment Global Head of Research Peter Laurelli. Roughly 53% of the industry is producing positive results YTD, with the average gain being +11.96% for the year while the average decline is -9.97%.

Among the primary strategies eVestment tracks, even those that did produce positive aggregate results were just barely in the green last month: Distressed funds saw aggregate returns of +0.93% in September, Origination & Financing funds produced +0.91% aggregate returns and Multi-Strategy funds eked out a +0.46% positive return.

Geography-wise, Japan was a bright spot in the hedge fund industry in September. Japan-focused funds saw aggregate returns of +3.13% in September, bringing YTD performance for Japan-focused funds into the green at +0.31%. Japan-domiciled funds saw aggregate returns of +2.32% in September, with these funds coming in at +3.97% YTD. India-focused funds were another performance bright spot, with returns of +2.97% in September and +1.43% YTD.

At the strategy level, macro funds (at -2.04%) and Managed Futures funds (at -2.51%) produced the lowest average returns among primary strategies eVestment tracks in September. The markets these funds operate within proved broadly difficult to navigate last month, as only 22% of macro managers and 24% of managed futures funds turned in positive performance during the month. After producing strong positive aggregate results in August (more than +7% last month), Event Driven-Activist strategies, coming in at -1.50% in September, were also among the poorest performers among primary strategies eVestment tracks. These funds were hurt by broad equity market declines in September and are now negative for performance YTD as well at -0.16%. Within equity and credit hedge fund sub-segments, Energy-focused equity strategies lost the least in September (-0.13%), while those focused on Financials lost most (-2.58%). Equity funds focused on Financials are biggest performance losers so far this year, at -15.60% YTD.

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