HFRX INDICES: SEPTEMBER 2026 PERFORMANCE NOTES

In September, global financial markets posted declines amid elevated volatility as rising Oil prices and interest rates weighed on risk sentiment, while uncertainty surrounding the sustainability of AI-related investment contributed to sharp swings in Technology and AI-sensitive equities. Global equity markets declined for the month, with weakness across U.S. and international markets as investors adjusted to higher borrowing costs and persistent inflation pressures. Interest rates rose sharply after the U.S. Federal Reserve increased its policy rate, as investors positioned for interest rates to remain higher for longer. The U.S. dollar strengthened against most major currencies. Commodities were mixed, with Oil posting strong gains amid continued uncertainty surrounding the Iran military conflict and global energy supplies, while Gold and agricultural commodities declined.

Hedge funds declined for the month, with the HFRX Global Hedge Funds Index declining -0.44%.

HFRX Macro/CTA Index gained +1.26% in September from gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +2.79% as the U.S. dollar strengthened against most major currencies. Commodities had a mixed performance led by gains in oil, with agricultural commodities falling.

HFRX Event Driven Index declined -0.12% for the month from declines in special situations managers and merger arbitrage strategies. The HFRX Special Situations Index declined -0.11% from declines in exposure to global, catalyst-driven fundamental value equities. The HFRX Merger Arbitrage Index declined -0.22% as equity markets posted declines through September.

HFRX Equity Hedge Index declined -0.97% in September from declines in fundamental growth and value strategies partially offset by gains in market neutral strategies. The HFRX Equity Market Neutral Index gained +0.20% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Growth Index declined -0.16% from declines in small-cap US & European equities. The HFRX Fundamental Value Index declined -1.58% from declines in large-cap US & European equities.

HFRX Relative Value Index declined -1.21% for the month from declines in multi-strategy managers and convertible arbitrage strategies. The HFRX RV: Multi-Strategy Index declined -1.17% as interest rates rose sharply. The HFRX Convertible Arbitrage Index declined -1.59% as volatility increased through September.

Comments reference performance figures as of September 30, 2026