HedgeCo.Net — Hedge funds posted mixed results in September, with the HFRI Fund Weighted Composite Index declining an estimated 0.7% as gains in Macro strategies were offset by losses in Equity Hedge, Event-Driven and Relative Value, according to HFR. The firm said interest rates experienced an unprecedented spike while global bond markets came under pressure for a second consecutive month.
Macro led the way. The HFRI Macro (Total) Index gained an estimated 2.7% for the month, with the HFRI Macro: Systematic Diversified/CTA Index up 4.6%, the Macro: Multi Strategy Index up 2.5% and the Macro: Commodity Index up 1.0%. Through the first three quarters of 2026, the HFRI Macro (Total) Index is up 12.2%, while the CTA and Commodity sub-indices have advanced 16.6% and 11.5%, respectively.
Elsewhere, HFR reported that the HFR Cryptocurrency Index jumped 10.8% in September, while the HFRI Multi-Manager/Pod Shop Index declined 0.9%. HFR noted that its September figures are estimates as of October 7.
“Managers traded the powerful trend of over-correlation between oil and interest rates in September,” HFR President Kenneth J. Heinz said, adding that the deviation from the historical relationship drove systematic trend-following and commodity managers to extend their performance leadership. He said HFR expects investors to continue favoring managers whose performance is uncorrelated to bond-market and geopolitical shocks.
The month underscored the diversification case for trend and macro allocations inside institutional portfolios. With rate-sensitive strategies under pressure and multi-manager platforms slightly negative, allocators reviewing fourth-quarter positioning are likely to weigh whether recent macro gains reflect a durable regime or a period of unusually strong cross-asset trends.