HFRX Indices September 2020 Performance Notes

09/30/2020 Performance Notes

Global financial markets declined in September as investors focused on upcoming US elections as well as continued challenges to reopening businesses as a result new virus cases. Led by Energy & Financials sectors, global equity markets declined for the months, though pared intra-month declines into month end. US interest rates declined on near term uncertainty and commitment of US Federal Reserve to maintain low rates until inflation targets are reached. The US dollar gained against the British Pound, Euro and Swiss Franc though declined against the Japanese Yen, while commodity declines were led by Oil, Silver & Platinum; agricultural commodities were mixed with gains led by spike in Lean Hogs. Hedge Funds & Risk Premia strategies provided mixed performance in September with the HFRX Global Hedge Fund Index posting a narrow decline of -0.17% for the period.
HFRX Event Driven Index posted a gain of +0.37% for September from gains in Merger Arbitrage and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +0.88% as M&A global activity continued and spreads on existing deals contracted. The HFRX Special Situations Index posted a gain of +0.34% from exposure to Global and Asian catalyst-driven, fundamental value equities.
HFRX Equity Hedge Index was basically unchanged for September, from gains in Fundamental Growth managers which were offset by Fundamental Value and Market Neutral strategies. The HFRX Fundamental Growth Index posted a gain of +1.10% from exposure to small-cap US and global equities. The HFRX Fundamental Value Index posted a decline of -0.47% from gains in large-cap European equities and mixed performance in Global and US equities. The HFRX Market Neutral Index declined -0.83% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a narrow decline of -0.10% for September from declines in Multi-Strategy and Convertible Arbitrage managers. The HFRX RV: Multi-Strategy Index posted a small decline of -0.10% for the month as yields declined for the month. The HFRX Convertible Arbitrage Index posted a decline of -0.14% for the month as interest rates declined and volatility remained subdued during the period.
HFRX Macro/CTA Index posted a decline of -1.28% for September from declines in Systematic and Global Discretionary strategies. Macro Discretionary managers posted declines from exposure to opportunistic Fixed-Income and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a decline of -2.10% as the US Dollar gained against most currencies, Energy and Metal commodities posted declines, while Agricultural traded in a wide range.
Comments reference performance figures for September 30, 2020