The September returns for Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Dow Jones/Credit Suisse
The Dow Jones Credit Suisse Hedge Fund Index finished down 3.20% in September compared with a drop of 9.88% for the Dow Jones Global Index. This was the index’s largest one-month decline in over a year. Uncertain market conditions benefited dedicated short bias, the only sector to post positive performance for the month. Long/short equity managers saw declines, although the sector fared better than broad equity markets, with the Dow Jones Global Index down 18.19% in the third quarter. Tactical strategies, such as global macro and managed futures, were generally able to withstand the volatile market conditions by maintaining relatively low long exposure or some short exposure to equities. Relative value strategies, such as multi-strategy, convertible arbitrage and fixed income arbitrage generally experienced mark-to-market portfolio losses. Sufficient market liquidity, low leverage and generally defensive positioning have helped avoid the pitfalls from 2008.

Frontier Multi Asset Platform (MAP) Fund
The Frontier Multi Asset Platform (MAP) Fund returned a negative 4.5% in September 2011. The best-performing asset class was managed futures up 0.9% followed by global bonds rising 0.6%. The worst-performing asset class was emerging equities, down 14.6% on the month, followed by commodities (down 13.7%), real estate (down 11.7%), global equities (down 8.6%), emerging bonds (down 4.1%) and hedge funds (down 2.6%). Over the five years to September 2011, the MAP strategy has generated 0.3% annualised returns with volatility of 9.8%. The Frontier MAP is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.

HFRX
Hedge funds losses continued through the month of September, with the HFRX Global Hedge Fund Index declining by 2.99%, the fifth consecutive month this year. Financial market volatility intensified from elevated August levels, with equity markets posting monthly losses which also extended through commodity and credit markets. . Absolute return fell 0.88% in September and macro declined 2.00% with negative contributions from discretionary thematic and commodity-related exposure only partially offset by short-term systematic strategies. Equity hedge posted a drop of 4.85% for the month, with negative contributions across all sub strategies. The equity market neutral index fell by 3.18 while relative value arbitrage declined 2.16% for the month, with declines across multi-strategy credit and convertible arbitrage strategies. Multi-strategy funds experienced mixed performance.

Lyxor
The Lyxor Hedge Fund Index was down 2.86% in September. Year-to-date performance at the end of September was a negative 6.55%. The top-performing strategies over September were l/s equity short bias (up 2.67%), CTAs short term (up 2.29%) and CTAs long term (up 0.07%). Funds with very active trading styles had an opportunity to distinguish themselves in this choppy market environment. Trend-followers were able to post small gains. Long-term CTA rose 0.1% in September. Funds focused less on trend following or specialised funds provided substantial dispersion to the upside. Active managers within the l/s equity strategy also had a chance to showcase their skills. L/S equity variable bias declined just 2.9% compared with a 7.2% fall of the S&P 500. L/S equity long bias fell 5.8%. Long/short equity market neutral dropped 2.1% (down 1.8% year-to-date) and l/s equity statistical arbitrage fell 2.3%. Performance in the event driven strategy was heavily influenced by gold and mining stocks. The special situations index declined 6.9% while the distressed index fell 2.0%. Merger arbitrage provided an oasis of stability, although the Lyxor index declined 3.1%. Global macro dropped 4.0% for the month. Volatility and convertible arbitrage declined 0.9%, while l/s credit fell 3.2%.