Opalesque Industry Update: Hedge funds posted the strongest monthly gains in over a year in September, as global equity markets surged on renewed investor confidence in the global economic recovery. Fixed income and commodities also posted gains for the month, while currencies continued to be volatile on the Bank of Japan intervention to weaken the Japanese Yen and continued US policymaker pressure on China to revalue the renminbi. |
The HFRI Fund Weighted Composite Index gained +3.37% for the month, the strongest monthly gain since May 2009 and effectively bringing cumulative index performance to the historical record level (high watermark) previously set in October 2007. All 4 main strategies had positive contributions to index performance as below:
Equity Hedge had the strongest contribution to index performance, with the HFRI Equity Hedge Index gaining +4.50% with significant sub-strategy contributions from Fundamental Growth and Energy/Basic Materials focused funds, which gained +6.32% and +5.88%, respectively. Equity Hedge gains were partially offset by significant weakness in dedicated Short Bias funds, which declined by -10.62% for the month. All other Equity Hedge strategies posted gains for the month bringing the HFRI Equity Hedge (Total) Index YTD performance to +3.46%.
The HFRI Macro Index gained +3.08%, with positive contributions from all Macro sub-strategies as financial market volatility declined broadly and strong, tractable, trending behavior persisted. Both Discretionary and Systematic Macro posted gains of +3.6% and +3.08%, respectively; Active Trading and Commodity focused funds also had significant positive contributions.
Event Driven funds also posted strong performance, with the HFRI Event Driven Index gaining +2.21%. Shareholder Activist and Equity Special Situations funds had the strongest contribution to Event Driven Index, as corporate transaction activity continued to be strong and credit markets remained liquid and accessible. Merger Arbitrage and Credit Arbitrage also posted gains for the month.
Relative Value Funds added to strong YTD performance, with a gain for the HFRI Relative Value Index of +1.41% for September bringing YTD performance to +7.75%, the best area of strategy performance. Strongest areas of sub-strategy performance include Yield Alternative and Real Estate focused funds, while Fixed Income and Convertible Arbitrage sub-strategies also posted gains.
The HFRI Emerging Markets Index gained +5.37%, with the strongest performance from Emerging Asia and the Middle East.
Fund of Hedge Funds posted a gain of +2.44% for September, also the strongest calendar month since May 2009.
Full performance charts available: Source