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Matthias Knab, Opalesque for New Managers: Hedge funds posted mixed performance in September. Gains in Macro and CTA strategies were offset by losses elsewhere, as interest rates spiked to an unprecedented degree and global bond markets came under pressure for the second consecutive month. Inflationary pressure and continued uncertainty over a resolution of the Iran military conflict added to the strain. According to HFR, the HFRI Fund Weighted Composite Index (FWC) declined an estimated -0.7% for the month.
"Hedge funds delivered a decisive split in September, as Macro and CTA strategies surged while interest-rate-sensitive Relative Value, Equity Hedge and Event-Driven strategies declined. Managers traded the powerful trend of over-correlation between oil and interest rates in September, with this deviation from historical relationship driving Systematic trend-following and commodity managers to extend their performance leadership, with the HFRI Macro (Total) Index now up +12.2 percent through the first three quarters of 2026," said Kenneth J. Heinz, President of HFR. "With bond market pressure and geopolitical risks likely to persist, potentially leading to increased dislocations and dispersion, we expect investors to continue favoring managers whose performance is uncorrelated to these shocks."
Macro and CTAs lead
The historic rate spike and ongoing geopolitical volatility included shipping disruptions that hit trade, commodity and energy markets. Against that backdrop, the HFRI Macro (Total) Index jumped +2.7% in September. The quantitative, trend-following HFRI Macro: Systematic Diversified/CTA Index led with a +4.6% gain. The HFRI Macro: Multi Strategy Index rose +2.5%, and the HFRI Macro: Commodity Index added +1.0%.
Through the first three quarters of 2026, the HFRI Macro (Total) Index is up +12.2%. The HFRI Macro: Systematic Diversified/CTA Index has gained +16.6% and the HFRI Macro: Commodity Index +11.5% over the same period.
Elsewhere, the HFR Cryptocurrency Index jumped +10.8% in September, while the HFRI Multi-Manager/Pod Shop Index declined -0.9%.
Rate-sensitive strategies fall
The fixed income-based HFRI Relative Value (Total) Index declined -1.1% as bond yields rose sharply. Within Relative Value, the HFRI RV: Yield Alternatives Index fell -7.7% and the HFRI RV: Fixed Income-Sovereign Index fell -3.75%, while the HFRI RV: FI-Asset Backed Index added +0.1%.
The HFRI Equity Hedge (Total) Index declined -1.9%, also driven by rising rates. The HFRI EH: Healthcare Index fell -7.0% and the HFRI EH: Fundamental Value Index lost -2.8%. The HFRI EH: Technology Index advanced +2.1%, and the HFRI EH: Equity Market Neutral Index posted a minimal gain of +0.1%.
Rising rates and uncertainty about IPO offerings also weighed on the HFRI Event-Driven (Total) Index, which declined -1.8%. The HFRI ED: Special Situations Index fell an estimated -3.05%, and the HFRI ED: Activist Index lost -2.8%.
Liquid alternatives mixed
Liquid Alternative UCITS strategies were mixed. The HFRX Absolute Return Index declined -0.1% and the HFRX Market Directional Index lost -0.3%. The HFRX Macro Index gained +1.3%, driven by the HFRX Macro: Systematic Diversified CTA Index, which returned +2.8% for the month.
September 2026 index performance figures are estimated as of 7 October 2026.
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