Regular bonds were down 1.11% in the month, compared to losses of 7.03% on the S&P 500 index, while convertible bonds were down -5.92% in what was their fifth consecutive month of losses.
The plunge in the S&P came after a severe setback of -5.43% in August and was worse than the performance posted by all hedge fund strategies.
In comparison, the local government bond index saw a comfortable profit of 1.75% for the month.
EDHEC-Risk said panic seemed to have set in among stock market investors last month, as even emerging markets, which had been relatively spared up until then shed 14.8%.
Unsurprisingly, the best performing hedge fund strategy during September was short selling, which recorded gains of 8.14%, bringing its year to date return up to 13.4%.
On the other end of the spectrum, emerging markets hedge fund strategies posted losses of 6.71% for the month, dragging its yearly performance down to -10.2%.
