10/04/2022 Performance Notes

In September, global financial markets posted steep declines as the Federal Reserve increased interest rates extending prior months’ losses on accelerating inflation, expectations for global additional interest rate increases, and expectations for a global economic recession. Global equity markets posted sharp losses led by Technology, Telecom, and Energy; regional declines were led by Germany, Russia, and Hong Kong. Interest rates increased as the Federal Reserve indicated aggressive increases would be needed to slow generational inflation, while the US Dollar rose to record highs against the British Pound Sterling, Euro, and Japanese Yen. Commodity declines were led by Oil and Natural Gas. Aluminum led Metals declines while Cotton led Agricultural losses.
Hedge Funds & Risk Premia indices posted mixed performance in September led by Macro/CTA Strategies with the HFRX Global Hedge Fund Index declining -0.96%, while the HFRX Absolute Return Index gained +2.51% and the HFRX Macro/CTA Index gained +2.99%.
HFRX Macro/CTA Index posted a gain of +2.99% for the month led by gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +6.49% in September as the US Dollar climbed to record highs against the British Pound, Euro, and Japanese Yen. Commodity declines in September were led by Natural Gas, Oil, Aluminum, and Cotton.  
HFRX Event Driven Index declined -0.26% for September from declines in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Special Situations Index posted a slight decline of -0.19% from declines in exposure to global, catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -1.43% as global equities saw steep losses across geographies & sectors.
HFRX Equity Hedge Index posted a decline of -2.01% for the month with gains in Market Neutral strategies partially offsetting declines in Fundamental Growth and Value strategies. The HFRX Market Neutral Index gained +0.96% in September from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index declined -0.96% from declines in exposure to large-cap US & European equities. The HFRX Fundamental Growth Index declined -4.46% from declines concentrated in small-cap US, European, & Emerging Markets equities.
HFRX Relative Value Index declined -3.03% for September from declines in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index declined -2.95% as the Federal Reserve increased interest rates during the month. The HFRX Convertible Arbitrage Index declined -3.80% as volatility increased in September.
Comments reference performance figures as of September 30, 2022