NEW YORK (HedgeWorld.com)–With the Standard & Poor’s 500 stock index down 11% in September and 28.99% for the year-to-date, it should come as no surprise that dedicated short bias managers are doing well.

While the CSFB/Tremont Hedge Fund Index is nearly flat for September at 0.08% and at 0.90% for the year-to-date through Sept. 30, dedicated short bias managers in the index returned 8.10% and 21.37% for the same periods, respectively.

The next best performing sub-category in the index was managed futures, which gained 4.11% for the month and posted a 20.63% return so far this year. This should also come as no surprise to investors, since commodities such as gold, natural gas and oil have taken center stage during the stock markets ongoing descent.

Still, the double-digit decline in the equity markets has been of little help to other hedge fund strategies. The only other index categories to post positive returns in September were convertible arbitrage at 1.37% for the month, and global macro with a monthly return of 0.76%. For the year, convertible arbitrage looks less attractive with a loss of 0.61%, while the global macro strategy holds its own at 11.52%.

Equity market-neutral, event driven and long/short equity each lost less than 1% for the month with negative returns of 0.03%, 0.20% and 0.47%, respectively. For the year, returns were mixed for those same strategies. Equity market-neutral so far has posted a gain of 5.78% for the year, while event driven has lost 3.13% this year. Long/short equity reported a loss of 2.98% year-to-date through September.

Emerging markets were hit the hardest, losing 1.98% for the month, but for the year performance of the asset class still stands at a positive 3.10%. Fixed-income arbitrage also lost 1.14%, but has a year-to-date return of 7.37%

The Database

The return for the CSFB/Tremont Hedge Fund Index return since its January 1994 inception is 143.33%. The index is comprised of 383 funds as of Sept. 1, which is down from 388 as of Aug. 1. The five funds dropped from the index were: Harch International Ltd., due to reporting rules; Hilspen Capital Partners LP, which is no longer reporting; JFl Partners I LP, which liquidated; Magus European Fund (EURO), which liquidated and Poseidon Offshore Partners LP, due to reporting rules.

The index construction is based on the TASS database of more than 2,600 hedge funds. It includes open and closed funds located in the United States and offshore, but not funds of funds. A fund needs to have US$10 million under management, a 12-month track record, and an audited financial statement to be included in the database. Calculated monthly, the index is adjusted on a going-forward basis for capitalization and return.

* Tremont Advisers Inc., Rye, N.Y., is a minority investor in and strategic partner with HedgeWorld.