HFR said its fund-weighted composite fell for the fourth straight month in September, bringing the year-to-date return for the index to -1.35% through the third quarter.
Declines for the index in September were “led by equity and credit-sensitive event-driven strategies,” most notably from exposure to Glencore, Valeant Pharmaceuticals International and high-yield credit. It should be noted that through Wednesday, Glencore has rebounded and is up 35% since Sept. 30.
The research firm also said that macro strategies “partially offset declines across many directional strategies in September,” as the macro index rose 0.4% in the month.
By strategy, relative value led all subindexes through the first nine months of the year -- up 0.04%. Macro and equity hedge indexes followed, returning -0.64% and -2.21%, respectively.
By comparison, the Russell 3000 index was down 5.4%, the MSCI ACWI ex-U.S. index was down 8.2% and the Barclays U.S. Aggregate index gained 1.1% through Sept. 30.