The dedicated short bias style topped the nine categories in September with a 9.9% return, as short sellers benefited from the market turmoil. Convertible Arbitrage continues to top the year-to-date list, with a 24.3% return, and gained 2% in September.
Emerging markets slid 6.8%, and is down 1.8% year-to-date.
For the month, the indexes returned:
2.0% – Convertible Arbitrage
9.9% – Dedicated Short Bias
-6.8% – Emerging Markets
-0.1% – Equity Market Neutral
0.6% – Event Driven
0.8% – Fixed Income Arbitrage
-0.9% – Global Macro
0.7% – Long/Short Equity
-3.3% – Managed Futures
The index is calculated monthly and includes the results of 335 funds, drawn from more than 2600 hedge funds, both US and offshore.
Funds must have at least US $10 million under management and an audited financial statement. The Index does not include funds of funds.
Performance for the CSFB/Tremont Hedge Fund Index and the nine style-driven sub-indices are calculated monthly.