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By Benedicte Gravrand, Opalesque London: The HFRI Fund Weighted Composite Index declined 4.68% in September, marking it the 4th consecutive monthly loss for the broad-based index and bringing the full year decline to 9.41% (performance table here). Ken Heinz, President of Hedge Fund Research Inc. (HFR) talked to Opalesque about this month’s returns.

Hedge fund losses in September 2008 made it the second worst monthly performance since HFR began tracking the industry in 1990 – the worst month ever being August 1998 at -8.7%. Heinz said: “The performance we have seen over the last year has brought the total drawdown, which started in November 2007, to approximately the same in percentage terms to that of 1998.”

The worst performing strategies were - Emerging Markets: Russia/Eastern Europe Index at -15.50% (est.), -31.04% YTD, - Energy/Basic Materials Index at -13.21& (est.), -20.84% YTD, - Fixed Income-Convertible Arbitrage Index at -11.97% (est.), -20.04% YTD.

The best performing strategies were: - Short Bias Index at 5.28% (est.), 15.14% YTD, - Macro: Systematic Diversified Index at 2.20% (est.), 9.47% YTD, - Macro (Total) Index at 0.83% (est.), 3.32% YTD.

Short Bias is where it is expected to be September was certainly a month where volatility, the short-selling ban ......................

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