The September 2010 returns for investable indexes: Dow Jones/Credit Suisse Investable Indexes, Frontier Capital Multi Asset Platform Fund, Hedge Fund Research Indexes and Lyxor Alternative Index.

Dow Jones Credit Suisse
The Dow Jones Credit Suisse AllHedge Index returned 3.26% in September 2010. The dedicated short bias sector was the only one to lose capital during the month, finishing down 7.66%. In contrast, emerging market funds posted returns of 6.31%, the best performance of the month. Event driven funds also did well with returns of 5.4%. Long/short equity finished September up 4.1%, benefiting from long directional exposure. The other strategies contributing to the total index also produced solid performances. Equity market neutral funds returned 1.58%, managed futures funds 1.46% and multi-strategy funds 1.3%. Meanwhile, global macro made 0.94%, fixed income arbitrage was up 0.83% and convertible arbitrage rose 0.69%.

Frontier Capital
The Frontier Capital Multi Asset Platform (MAP) returned 3.2% in September 2010 with seven of the eight asset classes showing positive returns. Emerging equities was the best-performing asset class, up 11.1%. This was followed by commodities (up 8%) and global equities (up 7.1%). The worst-performing asset class was global bonds, down 0.2%. Managed futures produced 1.3%. Over the five years to August 2010, the MAP strategy has generated 2.1% annualised returns with volatility of 9.6%. The MAP Fund is an investable fund tracking eight global asset class indices, using an asset allocation inspired by US university endowments such as Harvard and Yale.

HFRX
The global HFRX hedge fund index was up 1.72% in September 2010 and 1.9% year-to-date (YTD). Equity hedge funds were the best-performing sector, returning 3.48% for the month and clawing back to 1.81% YTD. Distressed securities, up 2.53% and event driven funds were up 2.3%, also had a good month. Equity market neutral funds took a step towards positive year returns, finishing September up 1.78% and only down 0.06% YTD. Merger arbitrage rose 1.71%, convertible arbitrage was a positive 0.91% and relative value funds posted a return of 1.16%. All three strategies continued their strong run for the year. However, macro funds struggled in September, losing 1.38%. Macro is now down 2.89% YTD.

Lyxor
The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform which tracks the overall hedge fund universe, was up 2% in September, lifting year-to-date (YTD) gains to 2.8%. The event driven sector provided generally positive returns in September. The Lyxor special situations index gained 4% on the back of equity and credit market gains and was the strongest-performing index over the month. The merger arbitrage index rose 1.9% as spreads tightened. The distressed index was up 0.5%. Long-biased long/short equity returned a positive 3.9% in September, although long/short equity short bias put in a negative 8% performance. Variable-biased managers returned 1% and equity market neutral funds a meagre 0.1%. The Lyxor long-term CTA index continued its run of solid performance, gaining 2.1% for the month and 6.7% YTD. The short-term CTA index was up 0.5%. The Lyxor global macro index put in a positive 2.5%, driven by managers with a long commodity bias or short dollar bias.