HFR: Hedge Funds Up 2.2% In September

Oct 6 2009 | 12:07pm ET

Hedge funds continued to make money in September, but badly trail the broader markets, according to Hedge Fund Research.

The company’s HFRX indices show that most hedge fund strategies were in the black last month. The HFRX Global Hedge Fund Index was up 2.2%, and has returned 11% on the year. But the Standard & Poor’s 500 Index jumped a further 3.68% in September to hit 18.59% on the year.

The best-performing strategy in the HFRX range in September was multi-strategy relative-value arbitrage, which jumped 5.35%. The strategy is up 33.25% through the first three quarters of the year, good enough for second-best behind convertible arbitrage, which is up 37.27% in 2009 after a 3.04% rise last month.

Fundamental growth funds also did very well in September, adding 4.64% (10.57% year-to-date). Relative value arbitrage funds rose 4.47% (30.57% YTD), market directional funds 3.26% (22.7% YTD) equity hedge funds 2.7% (11.58% YTD),special situations funds 2.23% (16.39% YTD), global macro funds 2.22% (11% YTD) and event-driven funds 2.16% (14.43% YTD).

Just three of the 18 HFRX strategy indices lost ground last month. Equity market-neutral funds dropped 1.24% amidst the equities rally and are now down 6.3% on the year. Macro funds shed 0.71% (down 7.31% YTD), while absolute return funds finished the month down 0.1% (down 3.78% YTD). But none of September’s losers earn the moniker “worst strategy of the first three quarters.” That dubious distinction goes to distressed securities, which is down 8.83% through the first nine months of the year despite a 1.49% rally in September.

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