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HFRI Off Slightly In September

Industry tracker HFR's flagship HFRI Fund Weighted Composite Index declined -0.27% in September, with gains in Event-Driven, Equity Hedge and RVA partially offsetting Macro declines

Macro hedge fund strategies led HFRI declines in September, with the HFRI Macro (Total) Index falling -2.2%, nearly reversing the August return of +2.5%. Macro sub-strategy declines were driven by quantitative, trend-following CTA’s, as the HFRI Macro: Systematic Diversified/CTA Index fell -3.6%, largely offsetting the August return of +4.05%. HFRI Macro Currency and Discretionary Thematic Indices posted partially-offsetting gains of +0.5% and +0.9% for the month. Larger Macro funds outperformed smaller, with the HFRI Macro Index (Asset Weighted) posting a more narrow decline of -0.37%.

Fixed income-based Relative Value Arbitrage (RVA) strategies led HFRI gains for September, as U.S. interest rates rose above record lows in August. The HFRI Relative Value (Total) Index gained +0.76% for the month, extending YTD performance +5.8%. All RVA sub-strategies advanced in the month, led by the HFRI RV: Yield Alternatives Index, which returned +1.7% and extended YTD performance to +11.7%, and the HFRI RV: Corporate Index, which added +1.0% in September.

“Hedge funds posted mixed strategy performance in September, essentially flat from an asset-weighted perspective, with gains across credit, equity and event-driven strategies offset by declines in quantitative, trend-following strategies, as CTA’s experienced a sharp reversal of the prior month’s gains,” stated Kenneth J Heinz, President of HFR. “Hedge fund managers and institutional investors are both continuing to position for acceleration of macroeconomic volatility and geopolitical tensions, which now include not only civil unrest in Hong Kong, Brexit uncertainty, slow European growth, and ongoing trade negotiations, but also a slowing IPO market, as well as ongoing impeachment investigations in the US. Managers positioned for opportunities created by these fluid drivers of financial markets are likely to lead industry growth into 2020.”