The September returns for investable indexes, including Credit Suisse/Tremont Hedge Fund Index, Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Greenwich Investable Indexes, Hedge Fund Research Indexes and Lyxor Alternative Indexes.

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CSFB Tremont Investable Indexes September returns

The Credit Suisse/Tremont Hedge Fund Index was up by 3.04% in September, bringing year to date (YTD) performance to 14.97%. Returns for the third-quarter rose 7.27%, the strongest third-quarter performance for 12 years. Emerging markets strategy was the strongest individual sector in September, returning 4.94% and 24.67% YTD. Convertible arbitrage slipped slightly from its strong August figure to return 3.23% in September and leads the YTD strategy rankings with a 39.96% return. Dedicated short bias was the only sector with a monthly fall, down 5.27% with a negative YTD performance of 22.26%. Managed futures had a negative YTD return but a positive 2.97% performance in September.

Dow Jones Investable Indexes September returns

The Dow Jones Hedge Fund Event Driven Strategy Benchmark was again the best performing of this group of indexes, up 2.41% for September and 12.15% YTD. Both the merger arbitrage (up 0.85%) and equity long/short (up 0.67%) scraped into positive returns in September. Merger arbitrage was up 6.63% YTD and equity long/short also up 3.89% YTD. The equity market neutral benchmark recorded a second successive negative month, down 1.69% and falling 5.32% YTD. The Dow Jones Hedge Fund Convertible Arbitrage Strategy Benchmark and Distressed Securities Strategy Benchmark were not calculated in September 2009.

Frontier Capital Management MAP Fund vs Indexes September returns

The Frontier Capital Multi Asset Platform (MAP) Fund returned 1.8% in September with seven of the eight asset classes showing positive returns. Emerging equities up 9.1, emerging bonds rising 5.2% and global real estate up 4.9% were the best performing asset classes. The worst performing asset class was commodities, down for a second month falling 0.2%. Global bonds were up 0.7%. Over the five years to September 2009 the MAP strategy has generated 3.6% annualised returns with volatility of 9.4%? MAP is an investable fund tracking eight global asset class indices, using an asset allocation inspired by US university endowments such as Harvard and Yale.

Greenwich Investable Indexes September returns

Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) improved during September to their highest levels on the year. The GGHFI returned 2.89% while the Greenwich Composite Investable Index (GI2) gained 2.26% in September. YTD the GGHFI is up 16.78% and the GI2 has returned 3.90%. Returns compared to global equity indexes including the S&P 500 Total Return, MSCI World Equity and FTSE 100 remain slightly down. A solid majority (82%) of constituent funds in the GGHFI ended the month with gains. The speciality strategies group, including emerging markets, fixed income and multi-strategy, was the strongest-performing group in September, posting returns of 3.6%. Within that group, emerging markets performed well finishing up 6.8%.

HRFX Indexes September returns

The HFRX Global Hedge Fund Index was up 2.22% in September, bringing YTD performance to 11%. Distressed securities turned around a negative August performance to record 1.49% in September. The macro down 0.71% and equity market neutral indexes down 1.24% continued to fall. The relative value index was the month's best-performing, up 4.47% and 30.57% YTD. Convertible arbitrage, up 3.04% in September, has the strongest YTD performance of 37.37%.

Lyxor Alternative Indexes Dashboard September returns

The Lyxor Global Hedge Fund index was up 1.1% in September and up 5.4% YTD. Long/short equity managers generally captured the broad market movement, with long bias managers benefiting most (up 2.2%). Variable bias and market neutral were flat (up 0.2% and down 0.1%, respectively), reflecting their lower net exposure to the market. Statistical arbitrage posted a 1% gain. Merger arbitrage and special situations performed well, up 0.8% and 1.6%, respectively. Long-term CTAs rose by 1% and short-term gained 1.9%. Global macro funds were flat. Market movements at the end of September took away hard-earned gains. Convertible and volatility arbitrage managers continued their impressive run, up by 2.6%. High yield bond spreads moved sharply tighter for most of the month, allowing funds invested in that space to gain more than their peers focused on investment grade names. Long/short credit funds benefited from similar bond dynamics, showing a 5.1% gain. Fixed income arbitrage managers were flat for the month, up just 0.2%.