Macro Tempers Hedge Funds’ Losses

In what was generally a tough month for hedge funds, Macro strategies stood out, providing the only positive performance amongst the headline HFRI indices.

The headline HFRI Fund Weighted Composite Index was -0.96% in September, according to compiler HFR, however it remains comfortably in the black at +6.82% year-to-date. Amidst a sea of red in other strategies, with Equity Hedge -1.79% (+7.14% year-to-date), Event Driven -1.61% (+5.02%), and Relative Value -0.85% (+3.27%), the HFRI Macro (Total) Index was +1.46%, for a strategy-leading +10.8% year-to-date.

Within the Macro family, the NFRI Commodity Index dropped 0.78%, while there were also struggles in the discretionary space, however elsewhere all was positive. Best performer on the month was the HFRI Currency Index at an impressive +7.53%, this drags the index out of the red for 2026, it now sits at +4.06%.

As noted, discretionary strategies struggled somewhat – the HFRI Macro Discretionary Directional Index was -1.29% for +5.67% on the year, while the Discretionary Thematic Index was 1.81% for +5.88% year-to-date. By contrast, the HFRI Macro Systematic Directional Index was +3.77%, for a strategy-leading +15.67% on the year, while the Systematic Diversified and Trend Following indices were both up more than 3%.

The Multi-Strategy Index was +1.33% for +7.08% on the year, while the Active Traders Index was +1.5% for +6.51%.

The rebound in crypto prices helped the HFRI Blockchain Composite Index into the black for 2026, with September’s +9.63% taking it to +7.41%. Within this, a similar change occurred in the Cryptocurrency Index which returned +9.93% in September for +7.9% on the year.

“Hedge funds delivered a decisive split in September, as Macro and CTA strategies surged while interest-rate-sensitive Relative Value, Equity Hedge and Event-Driven strategies declined,” says Kenneth Heinz, president of HFR. “Managers traded the powerful trend of over-correlation between oil and interest rates in September, with this deviation from historical relationship driving Systematic trend-following and commodity managers to extend their performance leadership, with the HFRI Macro (Total) Index now up +12.2 % through the first three quarters of 2026.

“With bond market pressure and geopolitical risks likely to persist, potentially leading to increased dislocations and dispersion, we expect investors to continue favouring managers whose performance is uncorrelated to these shocks,” he adds.