Tech, Energy Propel Hedge Funds’ September Gain: HFR

Event-driven sub-strategy performance was driven by distressed/restructuring, which advanced 1.3% in September, bringing performance to 9.5% for the year to date. The activist sub-strategy fell by 0.5% for the month, but is still up 4.5% for the year.

"With equity markets near record highs, expectations for near-term U.S. rate increases and U.S. election uncertainty dominating the coming months, HFRI performance, especially in event-driven and equity hedge sub-strategies, is likely to top equity markets for FY 2016," HFR President Kenneth Heinz said in a statement.

The fixed income-based HFRI Relative Value Index ended September up 0.9%, as the U.S. Federal Reserve maintained interest rate policy while investors positioned for near-term rate increases. The monthly gain brought Q3 performance to 3.1% and the year-to-date return to 5.9%. The volatility sub-strategy led September performance with a 1.6% gain.

Macro hedge funds reported mixed performance across currencies and commodities for September, as the HFRI Macro Index declined by 0.3%, paring the gain for the first nine months of 2016 to 1.8%.

The HFRI Currency Index led macro sub-strategy declines, losing 1% in the month. At the same time, the HFRI Commodity Index advanced 1.1%, bringing the year-to-date return to 5.8%.   Both CTA and discretionary macro strategies reported mixed performance for the month. The HFRI Systematic Diversified Index fell by 0.7%, while HFRI Macro: Discretionary Thematic Index gained 0.1%.

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