Hedge funds’ improved performance in September helped them overcome poor returns in July and August to post an average gain of 2.4% for the third quarter, according to Morningstar Inc.

The strongest returns were for hedge funds investing in emerging-markets stocks, which gained 7.5% in the quarter. In contrast, funds employing corporate-event driven and distressed strategies lagged in the quarter, losing 1.6% and 2.9%, respectively.

Hedge funds on average gained 3.7% in September, trouncing their gain of 0.42% in July and loss of 1.63% in August, the Chicago investment-research firm reported yesterday. Morningstar’s database has about 7,500 hedge funds and funds of hedge funds, and it reported performance based on data from funds that reported returns to the researcher as of October 11.

“August was really a bad month for every hedge fund category and July was pretty bad, though not for all categories, but September’s gains led to a positive third quarter,” a hedge-fund analyst at Morningstar, Nadia Van Dalen, told Dow Jones Newswires.

Much of the strong return by emerging-markets hedge funds came in September, as the MSCI Emerging Markets Index gained 6.6%, said Ms. Van Dalen. However, the funds captured only a fraction of the sector’s third-quarter surge as the index gained 13.7% in the three months, to reach a record high, she said.

Global macro funds — those that place bets on the world’s broad economic trends, such as interest rates, economic policies and inflation — also stood out in the quarter. They gained about 3.6% on average in the three months ended September, with funds that bet against the U.S. dollar benefiting from its record low in September against several currencies, including the euro.

Managed-futures hedge funds — which trade futures, forwards, and options to invest in the global currency, interest rates, equity, metal, energy, and agricultural materials — overcame losses they experienced in July and August to gain 2.2% on average in the quarter, Morningstar said.