Hedge fund momentum continued in September, according to Société Générale-owned Lyxor.

The French asset manager’s main hedge fund index gained 0.2 per cent in September and is up 2.2 per cent in 2012.  Eleven Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Event Driven - Special Situations Index (up 2.2 per cent) and the L/S Equity - Long Bias Index (up 1.5 per cent, 8.7 per cent year-to -date).

The L/S Credit Index gained 1.2 per cent in September, showing a 6.4 per cent gain for 2012 so far. Lyxor believes the choice of “shorts” in Long/Short is becoming more crucial as spreads are generally tighter than they have been in over a year.

But the Market Neutral Index declined 1.4 per cent and CTAs, both short term and trend followers, posted negative returns in the month, down 2.3 per cent for the Long Term CTA Index and 1.0 per cent for the Short Term CTA Index.