HFRX Indices September 2023 Performance Notes

10/03/2023 Performance Notes

In September, global financial markets posted sharp declines as bond yields increased under the expectation the US Federal Reserve may have additional rate increases in 2023. Growth, technology, and retail led global equities declines. Regional gains in the UK partially offset index declines led by Germany, France, and Hong Kong. The US Dollar strengthened against most currencies. Oil led Commodity gains as Energy surged; Silver led Metals declines while Soybeans led Agricultural declines.
Hedge Fund performance was mixed with HFRX Absolute Return Index +0.79% and HFRX Equal Weighted Strategies Index +0.01%. The HFRX Global Hedge Fund Index posted a narrow decline of -0.10% with gains in Macro and Event Driven strategies offset by declines in Equity Hedge and Relative Value strategies.
HFRX Macro Index gained +0.62% for the month from gains seen in systematic trend-following managers. The HFRX Macro Systematic CTA Index gained +2.10% for the month as the US Dollar strengthened against most currencies. Oil led all commodities gains; Silver and Platinum led metals declines, and Soybeans led Agricultural declines.
HFRX Event Driven Index gained +0.14% for September from gains in Merger Arbitrage and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +0.61% for the month as activity in global M&A deals continued through the month. The HFRX Special Situations Index gained +0.11% from exposures to global catalyst-driven, fundamental value equities.
HFRX Relative Value Index declined -0.10% for the month from declines in Convertible Arbitrage strategies partially offset by Multi-Strategy managers. The HFRX RV: Multi-Strategy Index remained little changed for the month with a performance of +0.003% as interest rates increased under the expectation the US Federal Reserve may have further rate increases in 2023. The HFRX Convertible Arbitrage Index declined -1.19% as volatility rose in September.
HFRX Equity Hedge Index declined -0.76% for September as gains in Market Neutral strategies were offset by declines in Fundamental Growth and Value strategies. The HFRX Market Neutral Index gained +0.79% from gains in mean-reverting, factor-based strategies and fundamental value managers. The HFRX Fundamental Value Index declined -0.36% from declines concentrated in small-cap US & European equities. The HFRX Fundamental Growth Index declined -1.79% from declines in exposure to large-cap US & European equities.

Comments reference performance figures as of Sepbember 29, 2023