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Half of EDHEC-Risk Alternative Indexes positive in September

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Half of the EDHEC-Rosk Alternative Indexes achieved positive performances in September, with Short Selling ending the month as the best performing strategy (1.39 per cent), followed by Merger Arbitrage (0.83 per cent) and Fixed-Income Arbitrage (0.79 per cent). The lowest performing strategy was CTA Global (-1.91 per cent), followed by Emerging Markets (-1.46 per cent) and Global Macro (-1.36 per cent). 

Two equity-oriented strategies were negatively impacted by the downturn in the stock market, with a higher decrease for Long/ Short Equity (-1.09 per cent), and a limited drop for Market Neutral (-0.20 per cent). The third equity-oriented strategy, Event Driven, managed to keep a barely positive performance (0.02 per cent).

Three strategies (Convertible Arbitrage, Fixed Income Arbitrage and Relative Value) are still at their highest index level since EDHEC-Risk hedge fund indices’ inception (December 1996). CTA Global is the only strategy back in red after posting a positive YTD last month.

Overall, after five months of positive returns, the Funds of Funds strategy posted a negative return (-0.19 per cent). However, all hedge-fund strategies clearly outperformed the S&P 500 Index.

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