Macro and commodity-focused hedge funds extended their strong run in September as a sharp rise in interest rates and renewed pressure on global bond markets created opportunities for trend-following and systematic strategies, according to a the latest data from HFR.The HFRI Fund Weighted Composite Index fell an estimated 0.7% during the month, with gains in macro and CTA strategies outweighed by losses across equity hedge, event-driven and relative value strategies.The HFRI Macro (Total) Index gained 2.7% in September, taking its return for the first three quarters of 2026 to 12.2%. The strongest performance came from systematic and trend-following managers, with the HFRI Macro: Systematic Diversified/CTA Index rising 4.6% during the month and 16.6% year to date.The HFRI Macro: Multi Strategy Index advanced 2.5% in September, while the HFRI Macro: Commodity Index gained 1%, bringing its year-to-date return to 11.5%.HFR said managers benefited from the unusual relationship between oil prices and interest rates during the month, while geopolitical uncertainty surrounding the Iran conflict and disruptions to shipping added volatility across energy, commodities and trade-sensitive markets.“Hedge funds delivered a decisive split in September, as Macro and CTA strategies surged while interest-rate-sensitive Relative Value, Equity Hedge and Event-Driven strategies declined,” said Kenneth J Heinz, president of HFR.Heinz highlighted that the divergence between oil and interest-rate trends had helped systematic trend-following and commodity managers extend their performance lead, while continued pressure on bond markets and geopolitical risks could create further dislocations and dispersion.The HFR Cryptocurrency Index was another strong performer, rising 10.8% in September. By contrast, the HFRI Multi-Manager/Pod Shop Index declined 0.9%.Interest-rate exposure proved particularly damaging for Relative Value managers. The HFRI Relative Value (Total) Index fell 1.1% as bond yields rose sharply, with the Yield Alternatives sub-index dropping 7.7% and the Fixed Income-Sovereign Index declining 3.75%. The Fixed Income-Asset Backed Index provided a small offset, gaining 0.1%.Equity Hedge strategies also came under pressure, with the HFRI Equity Hedge (Total) Index falling 1.9%. Healthcare-focused managers recorded the steepest decline, with the HFRI EH: Healthcare Index down 7%, while the Fundamental Value Index fell 2.8%.Technology was a notable exception within Equity Hedge, with the HFRI EH: Technology Index gaining 2.1%. Equity market neutral strategies were broadly flat, adding 0.1%.Event-driven managers were similarly affected by higher rates and uncertainty surrounding the IPO market. The HFRI Event-Driven (Total) Index fell 1.8%, led by a 3.05% decline in the Special Situations Index and a 2.8% drop in the Activist Index.Liquid alternative strategies also produced mixed results. The HFRX Absolute Return Index declined 0.1% and the HFRX Market Directional Index lost 0.3%, while the HFRX Macro Index gained 1.3%. Within the latter, the HFRX Macro: Systematic Diversified CTA Index returned 2.8%.
Macro and commodity-focused hedge funds extended their strong run in September as a sharp rise in interest rates and renewed pressure on global bond markets created opportunities for trend-following and systematic strategies, according to a the latest data from HFR.
The HFRI Fund Weighted Composite Index fell an estimated 0.7% during the month, with gains in macro and CTA strategies outweighed by losses across equity hedge, event-driven and relative value strategies.
The HFRI Macro (Total) Index gained 2.7% in September, taking its return for the first three quarters of 2026 to 12.2%. The strongest performance came from systematic and trend-following managers, with the HFRI Macro: Systematic Diversified/CTA Index rising 4.6% during the month and 16.6% year to date.
The HFRI Macro: Multi Strategy Index advanced 2.5% in September, while the HFRI Macro: Commodity Index gained 1%, bringing its year-to-date return to 11.5%.
HFR said managers benefited from the unusual relationship between oil prices and interest rates during the month, while geopolitical uncertainty surrounding the Iran conflict and disruptions to shipping added volatility across energy, commodities and trade-sensitive markets.
“Hedge funds delivered a decisive split in September, as Macro and CTA strategies surged while interest-rate-sensitive Relative Value, Equity Hedge and Event-Driven strategies declined,” said Kenneth J Heinz, president of HFR.
Heinz highlighted that the divergence between oil and interest-rate trends had helped systematic trend-following and commodity managers extend their performance lead, while continued pressure on bond markets and geopolitical risks could create further dislocations and dispersion.
The HFR Cryptocurrency Index was another strong performer, rising 10.8% in September. By contrast, the HFRI Multi-Manager/Pod Shop Index declined 0.9%.
Interest-rate exposure proved particularly damaging for Relative Value managers. The HFRI Relative Value (Total) Index fell 1.1% as bond yields rose sharply, with the Yield Alternatives sub-index dropping 7.7% and the Fixed Income-Sovereign Index declining 3.75%. The Fixed Income-Asset Backed Index provided a small offset, gaining 0.1%.
Equity Hedge strategies also came under pressure, with the HFRI Equity Hedge (Total) Index falling 1.9%. Healthcare-focused managers recorded the steepest decline, with the HFRI EH: Healthcare Index down 7%, while the Fundamental Value Index fell 2.8%.
Technology was a notable exception within Equity Hedge, with the HFRI EH: Technology Index gaining 2.1%. Equity market neutral strategies were broadly flat, adding 0.1%.
Event-driven managers were similarly affected by higher rates and uncertainty surrounding the IPO market. The HFRI Event-Driven (Total) Index fell 1.8%, led by a 3.05% decline in the Special Situations Index and a 2.8% drop in the Activist Index.
Liquid alternative strategies also produced mixed results. The HFRX Absolute Return Index declined 0.1% and the HFRX Market Directional Index lost 0.3%, while the HFRX Macro Index gained 1.3%. Within the latter, the HFRX Macro: Systematic Diversified CTA Index returned 2.8%.
| # | Наименование новости | Тональность | Информативность | Дата публикации |
|---|---|---|---|---|
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| 7 | Taula Capital down 9.4% as volatile rates market hits macro hedge funds | 0 | 9.98 | 25-09-2026 |
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| 9 | AI, oil and rates volatility revives hedge funds dispersion trade | 0 | 7.37 | 28-09-2026 |
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