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Laxman Pai, Opalesque Asia: Hedge funds posted mixed performance in the volatile month of September, as quantitative, trend-following CTAs declined, reversing August gains, on rising U.S. interest rates, while equity markets traded in a wide intra-month range, said HFR.
The HFR Asset Weighted Composite Index was flat, up just 0.01 percent in September, while the HFRI Fund Weighted Composite Index declined -0.27 percent for the month, with gains in Event-Driven, Equity Hedge and RVA partially offsetting Macro declines, according to data released today by HFR.
Meanwhile, the HFRI 500 Fund Weighted Composite Index, an investible index of 500 leading hedge funds, declined -0.3 percent in September.
Liquid Alternative UCITS strategies post a narrow gain
Liquid Alternative UCITS strategies posted a narrow gain for the month, with the HFRI-I Liquid Alternative UCITS Index advancing +0.11 percent, led by a +0.58 percent gain in the HFRI-I Liquid Alternative UCITS Relative Value Index.
Bank Risk Premia strategies also posted mixed performance for the month, with the HFR Bank Systematic Risk Premia Commodity Index posting a steep decline of -9.3 percent, which was only partially offset by the HFR Bank Systematic Risk Premia Currency Index, which advanced +2.93 percent.
The HFR Risk Parity Vol 12 Index gained +0.3 percent, extending the YTD return to +17.1 percent Macro hedge fund strategies led HFRI declines in September, with the HFRI Macro (Total) In...................... To view our full article Click here
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