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August 16, 2004


August 16, 2004

 NEW YORK, NY, August 16, 2004  --- The CSFB/Tremont Hedge Fund Index is down 0.31% for July 2004, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC. 

"While the U.S. experienced substantial volatility among the segments of its equity markets, short biased funds were poised for outperformance. Short sellers were in an ideal position to take advantage of the market's shift away from lower quality and distressed companies in July, as the month was characterized by lower volumes during the start of the second quarter earnings seasons," said Mr. Schupp.

"The Global Macro sector performed well as the more diversified/multi-strategy Global Macro managers appear to be weathering this difficult trading environment better than the more concentrated "classic" Global Macro managers.  This could be due to a higher level of diversification and their ability to engage in strategies that do well in noisy, trendless environments," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc.  

Performance for the CSFB/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly.  July, June, and year-to-date 2004 returns for all categories are listed below and at
www.hedgeindex.com.

Category
July 2004
June 2004
   YTD 04
CSFB/Tremont Hedge Fund Index
-0.31%
0.34%
2.61%
Convertible Arbitrage
-0.20%
-0.76%
0.27%
Dedicated Short Bias
8.12%
-1.25%
7.73%
Emerging Markets
-0.14%
0.87%
1.24%
Equity Market Neutral
0.31%
0.84%
2.53%
Event Driven
0.00%
0.96%
5.23%
Distressed
0.52%
1.06%
6.55%
Event Driven Multi-Strategy
-0.34%
0.93%
4.38%
Risk Arbitrage
-1.52%
0.25%
0.62%
Fixed Income Arbitrage
0.70%
0.71%
5.09%
Global Macro
0.82%
0.48%
5.21%
Long/Short Equity
-1.42%
0.66%
1.37%
Managed Futures
-1.95%
-2.84%
-5.54%
Multi-Strategy
-0.29%
0.09%
2.39%
 
 
 
 
Dow Jones Industrial Index*
-2.69%
2.55%
-1.91%
MSCI $ World Index*
-3.24%
2.10%
0.43%
MSCI EAFE US $ Index*
-3.23%
0.43%
1.47%
NASDAQ Composite US $ Index
-7.83%
3.47%
-5.79%
S&P 500 Index*
-3.31%
1.37%
0.02%

*Total Return Indices

The CSFB/Tremont Hedge Fund Index value is 294.38, returning 194.38% for the 127-month period since inception (January 1, 1994 through, 2004).

For additional current and historical data including more comparisons with other widely followed global indices, visit the CSFB/Tremont Hedge Fund Index web site at
www.hedgeindex.com.

The CSFB/Tremont Hedge Fund Index is comprised of 401 funds as of July 1, 2004.

There were 14 adds and 2 drops last month.  The adds consist of: Context Convertible Arbitrage Offshore Ltd, Systeia Convertible Arbitrage, TRG Global Opportunity Master Fund Ltd, Systeia Statistical Arbitrage, Titan Asia Volatility Fund Ltd, Equalt Pair Trading Fund, Kayne Anderson Capital Income Partners, Veritas High Yield Arbitrage Fund (Bermuda) Ltd, Laurus Master Fund Ltd, Kinetics Fund,Copper Beech Fund, Optima The Platinum Japan Fund Ltd, Green Coast, and Generation Japan Master Fund (Cayman) LP. The drops include Dancing Bear Offshore Fund, and Dancing Bear Partners LP. In addition, there were additional technical adds and drops as a result of the aggregation of various share classes of the same fund into a composite vehicle.

The Index is constructed using the TASS and CSFB/Tremont databases of more than 3,000 hedge funds.  It includes both open and closed funds located in the U.S. and offshore, but does not include funds of funds.  In order to qualify for inclusion in the index selection universe, a fund must have a minimum of US $10 million under management, a 12-month track record, and audited financial statements.  Index funds are selected using a formula based on assets under management that ensures the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe.  Once added, funds are not excluded until they liquidate or fail to meet the reporting requirements, in order to minimize survivorship bias.  The Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflow, including a reselection according to the procedure outlined above on a quarterly basis.
      
Returns for the CSFB/Tremont Investable Index

The CSFB/Tremont Investable Hedge Fund Index is down an estimated 0.12% net for the month of July 2004, outperforming the broad index by .19%.  The confirmed performance for June is down .24 % net.
      
"Dedicated Short Bias managers were generally successful this month with a positive return of 5.56%, bringing this sector up to 3.44% year-to-date," said Mr. Schupp.  "The short sellers produced strong returns in July in a market environment that began to show a marked difference between the stronger and the weaker companies.  

"The Fixed Income Arbitrage sector continued to do well in July, with the large majority of managers reporting positive performance. This can be attributed to the bond rally in the first half of the month, a sell off, and finally another rally into the end of July," said Mr. Schulman.  "On the other hand, the Managed Futures sector continued to be hurt this month as equities, bonds, FX and commodities behaved in a 'trendless' fashion in the choppy market environment."

Performance for the CSFB/Tremont Investable Hedge Fund Index and the ten style-based sector indices is calculated monthly. Returns for the months of June, May and year-to-date 2004 for all categories are listed below and at
www.hedgeindex.com.  The returns shown are net of a 0.07% calculation fee.

Category
July 2004
June 2004
YTD 04
CSFB/Tremont Investable Hedge Fund Index
-0.12%
-0.24%
0.84%
Investable Convertible Arbitrage
0.02%
-0.41%
1.65%
Investable Dedicated Short Bias
5.56%
-1.22%
3.44%
Investable Emerging Markets
0.94%
0.58%
3.71%
Investable Equity Market Neutral
-0.40%
0.20%
0.89%
Investable Event Driven
-0.41%
0.59%
2.41%
Investable Fixed Income Arbitrage
1.04%
0.93%
5.01%
Investable Global Macro
0.83%
0.31%
2.63%
Investable Long/Short Equity
-1.50%
0.51%
-0.39%
Investable Managed Futures
-1.99%
-5.18%
-8.97%
Investable Multi-Strategy
0.06%
-0.27%
1.21%

The CSFB/Tremont Investable Hedge Fund Index was launched with 60 funds across 10 style-based sectors.  The Investable Index was set at 100 on August 1, 2003 with aggregate assets under management representing approximately US$55 billion, making it the industry's largest investable index.  

The funds currently included in the index are available on the web site at
www.hedgeindex.com.  

The CSFB/Tremont Investable Hedge Fund Index is designed to give investors broad exposure to hedge funds as an asset class.  It fulfills investor demand for index-linked products created to reduce dependency on fund manager selection and fund concentration risk.

The CSFB/Tremont Investable Hedge Fund Index is based on the broad CSFB/Tremont Hedge Fund Index, which is the largest hedge fund index with $294 billion in assets managed by 401 funds as of July 2004. 

The funds in the CSFB/Tremont Investable Index, selected from the funds included in the main index, generally comprise the six largest funds that are open to investment and meet certain liquidity conditions in each of the 10 style-based sectors.  The fund selection rules can be found on
www.hedgefundindex.com and include the following criteria:

  •  Funds are selected from the CSFB/Tremont Hedge Fund Index by an asset-based formula
  • The funds generally represent the six largest eligible "open" funds in each of the ten sectors
  • The funds are determined by application of the construction rules
    The CSFB/Tremont Investable Hedge Fund Index will be calculated monthly and re-balanced semi-annually.

  Additional features of the Investable Index include:

  • Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters
  • Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion
  • Investable index eliminates dependence on manager skill
  • A broad suite of investment products, soon to be announced

Credit Suisse First Boston Tremont Index LLC is the joint venture company of Credit Suisse First Boston Index Co., Inc., a subsidiary of Credit Suisse First Boston Inc., and Tremont Capital Management, Inc.  Credit Suisse First Boston Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
         
Credit Suisse First Boston (CSFB) is a leading global investment bank serving institutional, corporate, government and individual clients. CSFB's businesses include securities underwriting, sales and trading, investment banking, private equity, financial advisory services, investment research, venture capital, correspondent brokerage services and asset management. CSFB operates in 68 locations in 33 countries across five continents. The Firm is a business unit of the Zurich-based Credit Suisse Group, a leading global financial services company.

Tremont Capital Management, Inc. is one of the leading global alternative investment management firms, whose business lines include research and investment management services, sale and distribution of its proprietary investment products, and database sales and information services. Tremont advises on approximately $9 billion in alternative investment assets, including more than $1billion in its proprietary funds.  Through its information and market intelligence unit, TASS Research, the firm provides data on the performance of more than 3,000 alternative investment managers and funds.  Tremont, headquartered in Rye, New York with offices in Toronto, Bermuda and London, is a wholly owned subsidiary of Oppenheimer Acquisition Corp, the parent company of Oppenheimer Funds, Inc., one of the nation's most respected asset managers.

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 Certain statements in this Press Release constitute "forward looking statements" within the meaning of the Private Securities Litigation Reform Act of 1995.  Such forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause the actual results, performance or achievements of the companies to be materially different from any future results, performance or achievements expressed or implied by such forward looking statements. The Companies assume no obligation to update these forward looking statements to reflect actual results, changes in assumption or changes in other factors affecting such forward looking statements.

For further information: Oliver Schupp (212) 712-7641
Robert I. Schulman (914) 925-1140
PR Contact: Meg Bode

(516) 869-6610


© 1999-2014 Credit Suisse Hedge Index LLC. All rights reserved.Credit Suisse Hedge Fund Index was formerly known as Dow Jones Credit Suisse Hedge Fund Index from June 22, 2010 to September 15, 2013. Credit Suisse AllHedge Index was formerly known as Dow Jones Credit Suisse AllHedge Index from June 22, 2010 to September 15, 2013. Credit Suisse Blue Chip Hedge Fund Index was formerly known as Dow Jones Credit Suisse Blue Chip Hedge Fund Index from June 22, 2010 to September 15, 2013.