September was the calm after the storm as U.S. hedge
fund performance rallied and all Absolute Return
strategies produced positive returns, according to preliminary
results. The Absolute Return Composite climbed 1.83%,
making up for loses in July and August, to finish up 6.98% for
the year. The Composite is now on-par with its performance at
this point last year, at which time it was up 6.96%.
With its strongest return since November 2004, the
Absolute Return Commodities Index posted a stellar
return of 6.30% for the month and is now the strongest strategy
for the year, up 12.09%.
The Macro and Global equity strategies also outperformed,
with the medians up 3.43% and 2.85%, respectively. The Absolute
Return CTA Index recouped its losses, gaining 2.63%, which
brought its year-to-date return to 2.73%. Even with the
resurgence, CTAs remain the worst performing strategy for the