The major theme for the month had a patriotic bent: betting on the strength of the U.S. dollar.
Many macro funds, including Caxton, Moore Capital Management, Tudor, Brevan Howard, MKP Capital Management, Discovery and Bridgewater Associates, essentially bet on the relative strength of the American economy, according to people familiar with portfolio positioning. They all went long the dollar (a bet that its value would appreciate) while simultaneously shorting currencies like the euro and the yen. The dollar gained about 4 percent versus the euro and 5.4 percent versus the yen over September.
Representatives for the firms declined to comment.
Another winning theme was betting on rising interest rates by shorting U.S. government bonds.
That position hurt many fund managers over the first half of the year when they stayed near record lows despite an improving economy. The market value of a 10-year U.S. Treasury bond, for example, declined sharply through midmonth before recovering slightly as interest rates rose a bit over September overall.
Another trade, according to hedge fund industry observers, was a continuation of the so-called reflation trade in Japan. That meant being long Japanese stocks while shorting the yen, essentially a bet that the country's aggressive economic stimulus program would boost equities while devaluing the currency. The same wager paid off handsomely in 2013 but burned many managers early in 2014.
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"That's been their complaint over the past three years, 'Hey, there's been no volatility, so it's been really tough to trade.' At least when there was a return of volatility they generated some returns," said Eric Siegel, head of hedge fund research and management at Citi Private Bank, which works with clients with $25 million or more. "That's what we like to see."
The CBOE Volatility Index, a measure of market fear usually referred to as the VIX, increased 36 percent in September. It has still been relatively low for the last three years and well below its peak during the 2008 financial crisis.
Among the biggest winners was former Soros Fund Management Chief Investment Officer Keith Anderson.
His $600 million firm's flagship fund, Anderson Global Macro, gained 9.3 percent for the month, according to people familiar with the performance. Contributing to the gains, according to one of the sources, was shorting three- to five-year U.S. Treasurys; shorting the yen and going long Japanese stocks, and taking advantage of volatility in euro and Australian dollar prices. A spokesman for the firm declined to comment.
Others with big months included Andrew Law's Caxton, which gained 3.46 percent in its flagship fund, and Rob Citrone's Discovery, which returned 4.7 percent. Both funds are still down for the year, 2.36 percent and 9.81 percent, respectively. Paul Tudor Jones' Tudor gained 3.61 percent, putting it back into positive territory for the year.