The Dow Jones Credit Suisse Hedge Fund Index Confirmed to Finish Up 1.38% in February
Final performance for the Dow Jones Credit Suisse Hedge Fund Index ("Broad Index") is confirmed up 1.38% in February.
Oliver Schupp, President of Credit Suisse Index Co., LLC, said, "The Dow Jones Credit Suisse Hedge Fund Index rose 1.38% in February, with eight out of ten sectors posting positive performance for the month. Convertible Arbitrage was the best performing sector for a second month in a row, finishing up 2.90%. Positive performance was also seen in the Event Driven sector, which finished up 1.44%, with all three of its sub-indices posting positive performance."
Performance for the Broad Index and its ten sub-strategies is calculated monthly. February, January and 2011 performance numbers are listed below and are available at www.hedgeindex.com.
|Category||Feb 2011||Jan 2011||YTD 11|
|Dow Jones Credit Suisse Hedge Fund Index||1.38%||0.69%||2.08%|
|Dedicated Short Bias||-3.37%||-0.83%||-4.18%|
|Equity Market Neutral||0.52%||1.79%||2.32%|
| Risk Arbitrage||0.79%||0.89%||1.70%|
|Fixed Income Arbitrage||0.93%||1.68%||2.63%|
There were no funds added to the Broad Index in February.
There following funds are no longer reporting to the Broad Index: Zazove Convertible Arbitrage, FrontPoint Healthcare Flagship Fund, and Inflective Convertible Opportunity Fund.
The Broad Index is constructed using the Credit Suisse database of more than 8,000 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but does not include fund of funds. In order to qualify for inclusion in the index selection universe, a fund must have a minimum of USD 50 million under management, a 12-month track record, and audited financial statements. Index funds are selected using a formula based on assets under management, which ensures that the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe. In order to minimize survivorship bias, funds are not excluded until they liquidate or fail to meet the reporting requirements. The Broad Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflows, including a reselection according to the procedure outlined above, on a quarterly basis.
The Dow Jones Credit Suisse family of hedge fund indexes includes four separate indexes:
1. The Dow Jones Credit Suisse Hedge Fund Index (formerly known as the Credit Suisse/Tremont Hedge Fund Index) is an asset-weighted benchmark that measures hedge fund performance and seeks to provide the most accurate representation of the hedge fund universe.
2. The Dow Jones Credit Suisse AllHedge Index (formerly known as the Credit Suisse/Tremont AllHedge Index) is an investable index comprised of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes weighted according to the sector weights of the Broad Index.
3. The Dow Jones Credit Suisse Blue Chip Hedge Fund Index (formerly known as the Credit Suisse/Tremont Investable Hedge Fund Index) is an investable index comprised of 60 of the largest funds across the ten style-based sectors in the Broad Index.
4. The Dow Jones Credit Suisse LEA Hedge Fund Index (formerly known as the Credit Suisse/Tremont LEA Hedge Fund Index) is an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).
In accordance with the Dow Jones Credit Suisse Blue Chip Hedge Fund Index Rules and the Dow Jones Credit Suisse AllHedge Strategy Index Rules, Credit Suisse Hedge Index LLC is publishing the following notice:
The following funds are in a Special Rebalancing Situation: Alexandra Global Investment Fund I Ltd., AlphaGen Capella Fund Limited, Bennelong Asia Pacific Multi Strategy Equity Master Fund Ltd., Canyon Value Realization Fund (Cayman) Ltd., Castlerigg International Limited, Centaur Classic Convertible Arbitrage Fund Ltd., Contrarian Fund I Offshore Ltd., Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd. - SPV Assets, Firebird Avrora Fund Ltd, GLG European Long Short Fund Ltd., GLG Market Neutral Fund Ltd., Global GT Ltd., Gramercy Offshore Fund (SPV) SPC, JANA Offshore Partners Ltd., Jayhawk China Fund (Cayman) Ltd., Longacre International Ltd., Owl Creek Overseas Fund Ltd., Ramius Multi-Strategy Fund Ltd., Seneca Capital International, Ltd., Shepherd Select Asset Ltd., Thales International Fund Ltd., and WGTC Ltd.
Katherine Herring, Corporate Communications, +1-212-325-7545, firstname.lastname@example.org
Dow Jones Indexes
Rich Silverman, Director, Global PR, +1-212-299-2414 email@example.com
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In its Asset Management business, Credit Suisse offers products across a broad spectrum of investment classes, including hedge funds, credit, index, real estate, commodities and private equity products, as well as multi-asset class solutions, which include equities and fixed income products. Credit Suisse’s Asset Management business manages portfolios, mutual funds and other investment vehicles for a broad spectrum of clients ranging from governments, institutions and corporations to private individuals. With offices focused on asset management in 19 countries, Credit Suisse’s Asset Management business is operated as a globally integrated network to deliver the bank’s best investment ideas and capabilities to clients around the world.
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