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European, Asian and Emerging Markets equities posted mixed performance with declines in the UK, Russia, Brazil and Turkey partially offset by gains in China, Argentina, Italy, Japan and Switzerland. The US Dollar posted strong gains, touching a six year high against the Japanese Yen, the Dollar also gained against the Euro, British Pound Sterling, Brazilian Real, Australian Dollar and Venezuelan Bolivar. US treasury yields increased on continued expectations for US Federal Reserve ending QE measures and speculation about future rate increases; global fixed income markets were also impacted by departure of PIMCO co-Founder Bill Gross. European and Japanese yields posted increases, while high yield credit spreads widened and fixed income volatility increased.

Commodities extended declines on strong supply and low inflation expectations, with declines led by Oil, Silver, Platinum and Gold, while agricultural commodity declines were led by Wheat, Soybeans and Corn. Hedge funds posted mixed performance for September with the HFRX Absolute Return Index declining -0.19%, while the Global Hedge Fund Index posted a decline of -0.77%.

HFRX Macro/CTA Index posted a gain of +1.54% for September as the US Dollar surged and equities fell, the 5th consecutive months of gains and the strongest monthly gain since 2009; HFRX Macro leads all strategy Indices YTD with a gain of +2.55%. HFRX Macro had positive contributions from Discretionary Currency, Fixed Income and Emerging Markets strategies, as well as exposure to Japan, the U.S. and Europe. The HFRX Macro: Systematic Diversified Index posted a gain of +0.24% with positive contribution from Currency exposure and mixed performance from Commodity strategies. The HFRX Emerging Markets Composite Index posted a gain of +0.55%, with gains concentrated in Emerging Asian equity exposure.

HFRX Equity Hedge Index posted a narrow decline of -0.12% for September as equities declined, with positive contributions across Fundamental Growth and Market Neutral strategies offset by declines in Fundamental Value. The HFRX Fundamental Growth Index gained +1.22% with contributions from exposure to Global Healthcare and Emerging Asia; the Index leads all sub-strategy indices YTD with a gain of +7.08%. The HFRX Market Neutral Index posted a gain of +0.35%, with gains in Fundamental, factor-based models, as well as quantitative, trading oriented strategies. The HFRX Fundamental Value Index posted a decline of -0.67% with mixed contributions across US large cap and technology exposure.

HFRX Relative Value Arbitrage Index posted a decline of -0.70% for September, as equities fell and credit widened, with negative contributions from credit multi-strategies and convertible arbitrage managers. The HFRX Convertible Arbitrage Index and the HFRX Multi-Strategy Index posted declines of -0.74% and -0.64%, respectively, as high yield credit widening was only partially offset by short hedged exposures and implied convertible volatility increases.

HFRX Event Driven Index posted a decline of -3.15% for September as equities fell and credit widened, with positive contributions from Merger Arbitrage managers offset by Equity Special Situations and Distressed strategies as the high yield credit widened. The HFRX Merger Arbitrage Index gained +0.15%, with contributions from transactions in Southside Bank/OmniAmerican Bank, Comcast/Time Warner and TriCo Bancshares/North Valley Bancorp. HFRX Special Situations Index declined -3.48% for the month, with contributions from core positioning in American Realty and Tim Hortons, while the HFRX Distressed Index declined -2.48%, with contributions from restructurings in Energy, Industrial and Consumer sectors in the US.

PD