GLOBAL - The S&P Hedge Fund Index (S&P HFI) gained 0.97% for the month of September, and is now up 2.42% for the year.
The S&P Arbitrage Index finished September with a gain of 0.52% with fixed income arbitrage managers taking profits on short bond positions in the European and US yield curves.
There's less crowding in converts now, explained Charles Davidson, senior hedge fund specialist at Standard & Poor's. A reduction in proprietary capital allocations and the closure of a few funds have resulted in reduced competition. Therefore, the remaining funds have been able to capitalise on securities whose valuations have depreciated more than justified by their fundamentals
Macro strategy managers also turned in a strong month, helped by long exposure to equity, energy, and metals markets. Managed futures managers were up only slightly during September, as indicated by a return of 0.23% for the S&P Managed Futures Index.
Although there were large gains in long US equity indices and natural gas positions, these were largely offset by losses in crude oil and government bonds.
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