Hedge funds recorded their fourth consecutive monthly loss in September, the longest sustained decline since the 2008 financial crisis, Hedge Fund Research reported Wednesday.
The broad-based HFRI Fund Weighted Composite Index fell by 1.1% in September. The index is down 5% since June and down 1.3% for the year, HFRI said.
In 2008, the index chalked up six consecutive months of negative performance, from June through November, losing 19.1%.
The HFRI benchmark is still ahead of the S&P 500, down about 2% for the year, and Dow Jones industrial average, down about 4%.
Global equities, commodities and high-yield credit tumbled in September, while increased volatility sustained throughout the month, HFRI noted.
Equity- and credit-sensitive event-driven strategies led the September rout. The HFRI Event Driven Index declined by 2.5%, hurt by exposure to positions in Glencore, Valeant and high-yield credit.
Activist strategies posted the weakest event-driven performance for the month, as the activist subindex fell by 5.2%, and is now down 4.7% year to date.
The HFRI Equity Hedge Index declined by 1.7% in September. Gains in the equity market neutral and short bias strategies — up 1.1% and 0.2% — only partially offset losses in the volatile biotechnology sector, as the technology/healthcare subindex declined by 3.5%.