Key Takeaways
- • The HFRI Fund Weighted Composite Index declined an estimated -0.7% in September, as gains in Macro and CTA strategies were offset by losses elsewhere, according to HFR.
- • The HFRI Macro: Systematic Diversified/CTA Index led all strategies with a +4.6% gain in September, while the HFRI Macro (Total) Index rose +2.7%.
- • Interest-rate-sensitive strategies, including Relative Value, Equity Hedge and Event-Driven, declined as global bond markets came under pressure for a second consecutive month and interest rates spiked to an unprecedented degree.
- • Through the first three quarters of 2026, the HFRI Macro (Total) Index is up +12.2% and the HFRI Macro: Systematic Diversified/CTA Index is up +16%.
Summary
Hedge funds posted mixed performance in September, with the HFRI Fund Weighted Composite Index declining an estimated -0.7% for the month, according to HFR. Gains in Macro and CTA strategies were offset by losses across other categories 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, while shipping disruptions affected trade, commodity and energy markets.
Macro strategies led the month. The HFRI Macro (Total) Index rose +2.7% in September. The quantitative, trend-following HFRI Macro: Systematic Diversified/CTA Index posted the strongest gain at +4.6%. The HFRI Macro: Multi Strategy Index added +2.5%, and the HFRI Macro: Commodity Index rose +1.0%. Through the first three quarters of 2026, the HFRI Macro (Total) Index is up +12.2%, and the CTA index has gained +16%.
HFR President Kenneth J. Heinz attributed the divergence to managers trading a strong deviation from the historical relationship between oil and interest rates. He said this dynamic drove systematic trend-following and commodity managers to extend their performance leadership. Heinz described the month as a "decisive split," with interest-rate-sensitive Relative Value, Equity Hedge and Event-Driven strategies declining.
Heinz expects bond market pressure and geopolitical risks to persist, which could lead to greater market dislocations and dispersion. He said investors are likely to continue favoring managers whose returns are uncorrelated to these shocks.
Macro strategies led the month. The HFRI Macro (Total) Index rose +2.7% in September. The quantitative, trend-following HFRI Macro: Systematic Diversified/CTA Index posted the strongest gain at +4.6%. The HFRI Macro: Multi Strategy Index added +2.5%, and the HFRI Macro: Commodity Index rose +1.0%. Through the first three quarters of 2026, the HFRI Macro (Total) Index is up +12.2%, and the CTA index has gained +16%.
HFR President Kenneth J. Heinz attributed the divergence to managers trading a strong deviation from the historical relationship between oil and interest rates. He said this dynamic drove systematic trend-following and commodity managers to extend their performance leadership. Heinz described the month as a "decisive split," with interest-rate-sensitive Relative Value, Equity Hedge and Event-Driven strategies declining.
Heinz expects bond market pressure and geopolitical risks to persist, which could lead to greater market dislocations and dispersion. He said investors are likely to continue favoring managers whose returns are uncorrelated to these shocks.
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