Macro hedge funds have re-emerged as powerful, uncorrelated exposures amid a reduction of US monetary stimulus, posting gains for
the fifth time in six months in September.
Data from Hedge Fund Research (HFR) shows macro hedge funds topped the performance rankings last month, making September the month with the best performance since July 2012.
The 1.8% gain of the HFRI Macro (Total) Index in September contributes to a gain of more than 4% year to date. The performance gains were led by sub-indices pursuing systematic diversified, commodity and active trading sub-strategies.
Kenneth J. Heinz, president of HFR, says the sector has held up well as the US started to withdraw monetary stimulus.
"Macro is expected to exhibit performance leadership through year end 2014 as realised volatility remains elevated and fundamental macroeconomic relationships are re-established without the distortions of stimulus measures, contributing to a reversal of recent capital outflows in macro, as investors position for a continuation of these dynamic trends."
Macro hedge funds are now the second-best performing hedge fund strategy so far this year in the category strategy indices, lagging only hedge funds that pursue a relative value strategy.
The HFRI Relative Value (Total) Index returned 5.1% year to date, despite a 0.24% loss in September.
The HFRI Fund Weighted Composite Index, which comprises hedge funds pursuing equity hedge, event-driven, macro and relative value strategies, lost 0.4% percent last month. The composite index has returned more than 3.4% year to date.
More hedge funds in the category strategy indices posted losses than gains in September. However, year to date, all but one of the indices posted gains, including 11.9% for the HFRI Relative Value Alternatives Index.
The only sub-sector index that posted a loss so far this year is the HFRI Equity Hedge Short Bias Index, which lost 2.66%.
Event-driven hedge funds in the HFRI Event-Driven (Total) Index posted year-to-date returns of almost 3.2% while those hedge funds that pursue an equity hedge strategy in the HFRI Equity Hedge (Total) posted returns of 2% year to date.
Aside from strategy indices, the strongest divergence of performance has been in the emerging markets index universe.
The star performer is the HFRI Emerging Markets: India Index, which posted a return of more than 37.3% year to date, while the HFRI Emerging Markets: Russia/Eastern Europe Index lost 9.5% over the same time.
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