Summer ended with a thud for hedge funds, according to the Hennessee Group. The Hennessee Hedge Fund Index ended the month barely in positive territory at 0.08%, and continues to lag the Standard & Poor’s 500 Index year-to-date by more than two percentage points (6.32% vs. 8.54%). “The performance of hedge funds in September indicates that most managers have moved their portfolios to a more cautious positioning,” according to Hennessee managing principal E. Lee Hennessee. But don’t blame the Amaranth Advisors mess. “Unlike the collapse of Long Term Capital Management in 1998, there haven’t been any signs of contagion due to Amaranth’s collapse,” managing principal Charles Gradante said. While the Hennessee Arbitrage/Event Driven Index fell slightly on the month, dropping 0.26%, it is still up 7.58% YTD, and several sub-indices, including merger arbitrage (up 0.42%, 9.03% YTD) and distressed credit (up 0.22%, 9.48% YTD) posted gains. The Long/Short Equity Index (up 0.54%, 6.66% YTD) and International Index (up 0.48%, 6.06% YTD) were also in the black. The Hennessee Macro Index was the biggest loser, dropping 2.18% to fall to -0.57% on the year, while the Global/Macro Index declined 0.37% (up 3.3% YTD).