But in a month that saw all but two sub-strategies on Hedge Fund Research’s HFRI index lose money, it failed to deliver positive returns. Short bias funds, unsurprisingly, again delivered the strongest returns in September, of 6.18%. No other strategies came close to that, with systematic diversified delivering 0.04%. Global macro did a reasonable job of capital preservation, losing -0.69%, compared to a -5.65% loss for equity hedge and -3.57% for event driven.
That takes macro’s year-to-date performance to 6.25% – among the highest of all the strategies on the HFRI index, though it lags systematic diversified’s 8.99% YTD return.
On different indexes, the findings are subtly different, but the overall picture of macro funds and systematic funds being among the better performers for the month remains unchanged.
The Dow Jones Credit Suisse index, which also measures hedge fund performance, saw managed futures funds lagging their global macro counterparts, though they were again the second and third best performers, behind dedicated short sellers.
On the Dow Jones index, managed futures funds made a -0.78% loss for September, while macro funds posted a return of 0.07%, making it the second strongest performer for the month. Dedicated short funds made 8.45%.
The difference is more pronounced when looking at the YTD numbers, with global macro funds delivering a satisfactory 5.82% this year, second only to dedicated short funds, which delivered 13.19% – though with vastly different Sharpe ratios of 0.92 and -0.37 respectively.
But while HFR funds’ systematic funds have made a positive return this year of an admittedly meagre 0.52%, Dow Jones has them making a small loss of -0.05%, with a Sharpe of 0.26.
Although there are inconsistencies between the two indexes over a longer time horizon, the differences in terms of September’s performance are marginal and demonstrate the two strategies have been best placed – behind short sellers – to capitalise on market volatility.
For most hedge funds, it has been a quarter to forget. September’s results rounded off the fourth worst quarterly performance ever for hedge funds, states HFR, with performance ravaged by uncertainty regarding the European sovereign debt crisis and weakening economic data.
| Dow Jones Credit Suisse Hedge Fund Index Performance |
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| Source: Dow Jones, Credit Suisse |