Key Takeaways
- • The HFRI Fund Weighted Composite Index declined an estimated 0.7% in September 2026, as gains in Macro strategies were offset by losses in Equity Hedge, Event-Driven and Relative Value, according to HFR.
- • The HFRI Macro (Total) Index gained an estimated 2.7% in September, led by the HFRI Macro: Systematic Diversified/CTA Index at +4.6%, with Multi Strategy at +2.5% and Commodity at +1.0%.
- • Year-to-date through Q3 2026, the HFRI Macro (Total) Index is up 12.2%, with the CTA and Commodity sub-indices up 16.6% and 11.5%, respectively.
- • The HFR Cryptocurrency Index jumped 10.8% in September, while the HFRI Multi-Manager/Pod Shop Index declined 0.9%.
- • HFR President Kenneth J. Heinz attributed trend-following gains to an unusual over-correlation between oil and interest rates, and said investors are likely to keep favoring strategies uncorrelated to bond-market and geopolitical shocks.
Summary
Hedge funds posted mixed results in September 2026, with the HFRI Fund Weighted Composite Index declining an estimated 0.7%, according to HFR. Gains in Macro strategies were offset by losses in Equity Hedge, Event-Driven and Relative Value. HFR said interest rates experienced an unprecedented spike and global bond markets came under pressure for a second consecutive month. HFR's September figures are estimates as of October 7.
Macro strategies led performance. The HFRI Macro (Total) Index gained an estimated 2.7% for the month. Within the category, the HFRI Macro: Systematic Diversified/CTA Index rose 4.6%, the Macro: Multi Strategy Index gained 2.5%, and the Macro: Commodity Index advanced 1.0%. Over the first three quarters of 2026, the HFRI Macro (Total) Index is up 12.2%, while the CTA and Commodity sub-indices have risen 16.6% and 11.5%, respectively.
Elsewhere, the HFR Cryptocurrency Index jumped 10.8% in September, while the HFRI Multi-Manager/Pod Shop Index declined 0.9%. HFR President Kenneth J. Heinz said managers traded "the powerful trend of over-correlation between oil and interest rates," and that this deviation from the historical relationship drove systematic trend-following and commodity managers to extend their performance leadership. He added that HFR expects investors to continue favoring managers whose returns are uncorrelated to bond-market and geopolitical shocks.
The month reinforced the diversification case for trend-following and macro allocations within institutional portfolios. With rate-sensitive strategies under pressure and multi-manager platforms slightly negative, allocators reviewing fourth-quarter positioning will likely assess whether recent macro gains reflect a durable regime or a period of unusually strong cross-asset trends. Alternatives Watch separately reported the September decline alongside continued ETF and UCITS launches that are expanding access to alternative strategies.
Macro strategies led performance. The HFRI Macro (Total) Index gained an estimated 2.7% for the month. Within the category, the HFRI Macro: Systematic Diversified/CTA Index rose 4.6%, the Macro: Multi Strategy Index gained 2.5%, and the Macro: Commodity Index advanced 1.0%. Over the first three quarters of 2026, the HFRI Macro (Total) Index is up 12.2%, while the CTA and Commodity sub-indices have risen 16.6% and 11.5%, respectively.
Elsewhere, the HFR Cryptocurrency Index jumped 10.8% in September, while the HFRI Multi-Manager/Pod Shop Index declined 0.9%. HFR President Kenneth J. Heinz said managers traded "the powerful trend of over-correlation between oil and interest rates," and that this deviation from the historical relationship drove systematic trend-following and commodity managers to extend their performance leadership. He added that HFR expects investors to continue favoring managers whose returns are uncorrelated to bond-market and geopolitical shocks.
The month reinforced the diversification case for trend-following and macro allocations within institutional portfolios. With rate-sensitive strategies under pressure and multi-manager platforms slightly negative, allocators reviewing fourth-quarter positioning will likely assess whether recent macro gains reflect a durable regime or a period of unusually strong cross-asset trends. Alternatives Watch separately reported the September decline alongside continued ETF and UCITS launches that are expanding access to alternative strategies.
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