September hedge fund returns were the highest since May 2009, based on the performance of major indexes, but lagged extremely strong equity markets.
The 3.57% return of the Barclay Hedge Fund index led the pack last month, followed by the Hennessee Hedge Fund index at 3.5%; Eurekahedge Hedge Fund index, 3.45%; HFRI Fund Weighted Composite index, 3.37%; Dow Jones Credit Suisse Hedge Fund index, 3.23%; Greenwich Global Hedge Fund index, 3.2%; and the Newedge CTA index, 1.28%.
Hedge funds-of-funds’ returns trailed those of single and multistrategy hedge funds for the month, with the HFRI Fund of Funds Composite index producing a 2.44% return and the Eurekahedge Fund of Funds index at 2.16%.
The S&P 500 index returned 8.92% in September; the MSCI World index, 9.6%; and the Barclays Aggregate Bond index, 0.11%.
“Hedge funds posted the strongest monthly gains in over a year in September as global equity markets surged on renewed investor confidence in the global economic recovery. Fixed income and commodities also posted gains for the month,” Kenneth J. Heinz, president of Hedge Fund Research, producer of the HFRI indexes, said in a news release.
Over the first nine months of 2010, however, hedge fund returns surged well ahead of the 3.91% return of the S&P 500 and the 4.1% for the MSCI World, but trailed the 7.94% return of the Barclays Aggregate Bond index.
Commodity trading adviser managers returned 6.08% for the first three quarters of the year, according to the Newedge CTA index. The Dow Jones Credit Suisse Hedge Fund index was the next best performer for the nine months ended Sept. 30, at 5.78%, followed by the Barclay Hedge Fund index, 5.2%; Eurekahedge Hedge Fund index, 5.15%; Greenwich Global Hedge Fund index, 4.9%; Hennessee Hedge Fund index, 4.6%; and the HFRI Fund Weighted Composite, 4.59%.
By comparison, the HFRI Fund of Funds Composite index return was 2.12% for the first nine months of 2010, and the Eurekahedge Fund of Funds index was 1.6%.
“It has been a challenging year for hedge funds. They have struggled to generate alpha in an environment of high correlation and high volatility. That said, hedge funds are still outperforming equity markets year-to-date,” Lee Hennessee, managing principal of the Hennessee Group, which maintains the Hennessee Hedge Fund index, said in a news release.