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October 15, 2003


October 15, 2003

The CSFB/Tremont Hedge Fund Index is up 1.52% for September 2003, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.

"Despite the first down month for equity markets since February, hedge funds posted solid returns in September bringing the asset class within reach of its equity peer group," said Mr. Schupp.  "The Index is up 10.50% year-to-date and continues to provide comparably good risk-adjusted returns."

"Global macro funds demonstrated the power of diversification with returns of 3.04% in September," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc.  "Emerging markets funds retained the lead year-to-date, now up 20.18%, providing steady returns since last February."

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

Category

Sep 2003

Aug 2003

YTD

CSFB/Tremont Hedge Fund Index

1.52%

0.76%

10.50%

Convertible Arbitrage

1.97%

-0.91%

8.90%

Dedicated Short Bias

-0.42%

-1.44%

-22.60%

Emerging Markets

2.65%

2.98%

20.18%

Equity Market Neutral

1.06%

0.06%

5.03%

Event Driven

1.80%

0.86%

15.08%

   Distressed

2.21%

       1.02%

19.17%

   Event Driven Multi-Strategy

1.47%

       0.64%

12.92%

   Risk Arbitrage

0.95%

       1.16%

6.16%

Fixed Income Arbitrage

1.16%

0.21%

6.07%

Global Macro

3.04%

1.30%

15.10%

Long/Short Equity

1.21%

1.04%

9.92%

Managed Futures

-1.60%

1.06%

6.86%

Multi-Strategy

1.68%

       0.73%

10.12%

 

 

 

 

Dow Jones Industrial Index*

-1.35%

       2.21%

13.11%

MSCI $ World Index*

0.63%

       2.18%

16.96%

MSCI EAFE US $ Index*

3.10%

2.43%

18.84%

NASDAQ Composite US $ Index

-1.30%

4.35%

 35.56%

S&P 500 Index*

-1.06%

       1.95%

14.71%

The CSFB/Tremont Hedge Fund Index value is 274.61 returning 174.61% for the 117-month period since inception (January 1, 1994 through September 30, 2003).

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 442 funds as of September 1, 2003.

Two funds dropped.  They are Wharton Asian Equity Linked Fund, which liquidated, and CRM Partners LP, which is no longer reporting.

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 US $10 million under management, a 12-month track record, and audited financial statement.  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 New Investable Index

The CSFB/Tremont Investable Hedge Fund Index is up 0.75% for the month of September 2003.

"The different strategy weightings, in particular long/short equity and managed futures, contributed to lower performance of the Investable Index for September," said Mr. Schupp.  "The Investable Index is up 8.32% for the year."

"Global macro funds outpaced other strategies in the Investable Index, up 2.43% for September as emerging markets funds lead year-to-date, up 24.02%," added Mr. Schulman.

Performance for the CSFB/Tremont Investable Hedge Fund Index and the ten style-based sector indices is calculated monthly. Returns for the month of September for all categories are listed below and at www.hedgeindex.com.

Category

Sep 2003

Aug 2003

YTD

CSFB/Tremont Investable Hedge Fund  Index 0.75% 0.60% 8.32%
Investable Convertible Arbitrage 1.85% -1.28% 9.08%
Investable Dedicated Short Bias -0.76% -1.69% -20.95%
Investable Emerging Markets 2.41% 2.74% 24.02%
Investable Equity Market Neutral 0.62% 0.05% 3.69%
Investable Event Driven 1.47% 0.81% 12.27%
Investable Fixed Income Arbitrage 0.87% 0.57% 4.96%
Investable Global Macro 2.43% 0.51% 13.09%
Investable Long/Short Equity -0.19% 1.79% 10.46%
Investable Managed Futures -3.01% 2.03% 6.95%
Investable Multi-Strategy 0.87% -0.15% 6.25%

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

The 60 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 $199 billion in assets managed by 442 funds as of September 1, 2003.

The 60 funds in the CSFB/Tremont Investable Index, selected from the 442 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 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 69 locations in 34 countries across five continents. The Firm is a business unit of the Zurich-based Credit Suisse Group, a leading
global financial services company. For more information on Credit Suisse First Boston, please visit our Web site at http://www.csfb.com.

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.