Hedge funds lost 2.69% on average in September, the second straight month of steep losses. Continued market volatility and the eurozone’s constant crisis state affected all strategies.

Tough times
Hedge funds lost 2.69% on average in September, the second straight month of steep losses. Fund managers struggled to deal with increased volatility and falling prices across global markets. However, hedge outperformed the MSCI World Index, which dropped 10% for the month.
Long/short equity managers were severely impacted by negative market sentiment, losing 4.63% on average in September. Hedge funds focusing on Asia (ex-Japan) were the worst performers, dropping over 6% for the month. US long/short equity funds lost around 5%, while European and Latin American managers outperformed their peers, keeping losses down to 3% on average. The Eurekahedge Long/Short Equities Hedge Fund Index is down 8.43% year-to-date.

CTAs struggle
Managed futures funds lost 0.50% on average in September as trend reversals in bonds and commodities erased gains in other asset classes. Commodity trading advisers (CTAs) in North America outperformed other regional managers, posting gains of 2.27% on average for the month. The Eurekahedge CTA/Managed Futures Hedge Fund Index is down 1.77% year-to-date.
Arbitrage strategies also struggled with the volatility in September. The Eurekahedge Arbitrage Hedge Fund Index fell 1.44% for the month. Latin American managers were the exception to the rule, finishing the month with a positive 0.7% return. Latin American arbitrage funds are up over 7% year-to-date.

Macro mixed
Global macro funds fell 0.94% on average in September. Returns were mixed across the board. A number of well known managers, including Brevan Howard, Tudor Investment Corporation and Caxton Associates profited from bearish bets on the euro as well as commodities and equities. However, some managers were caught out by reversals in bond prices and precious metals.
Relative value strategies were negatively impacted by the heightened volatility and sharp declines in equity markets. The Eurekahedge Relative Value Hedge Fund Index was down 1.87% for the month. It was also a difficult month for multi-strategy funds, which lost 1.69% in August. The Eurekahedge Multi-Strategy Hedge Fund Index is currently down 3.14% year-to-date with the losses in August and September cancelling out strong returns in earlier months.

Event driven slide
The Eurekahedge Event Driven Hedge Fund Index registered losses for the fifth month in succession, dropping almost 3% in August. Merger funds struggled as deal volume continued to fall, especially in Europe. The Eurekahedge Event Driven Hedge Fund Index is down 6.76% year to date.
Fixed income hedge funds recorded average losses of 1.86% on average in September. US focused fixed income strategies benefited from a rally in Treasuries as yield continued to fall, losing less than 1% for the month. Asian and Latin American fixed income managers found the environment tougher, losing 4% and 5.5% respectively.