"Hedge funds held tight to slightly positive returns and continued to protect diversified portfolios against severe losses during September," said Mr. Schupp. "Year-to-date returns are slim at 0.90%, but much coveted when compared with the double-digit losses that continue to drag down long-only investments."
"Dedicated short bias funds enjoyed strong performance, posting 8.10% returns while most strategies languished during a brutal month in the markets," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers. "Year-to-date, the CSFB/Tremont Dedicated Short Bias Index is on top, up 21.37%."
Performance for the CSFB/Tremont Hedge Fund Index and the nine style-based sector indices is calculated monthly. September, August and year-to-date 2002 returns for all categories are listed below and at www.hedgeindex.com.
|Category ||September 2002 ||August 2002 ||Y 2002|
|CSFB/Tremont/Index ||0.08% ||0.85% ||0.90%|
|Convertible Arbitrage ||1.37% ||0.60% ||-0.61%|
|Dedicated Short Bias ||8.10% ||-1.58% ||21.37%|
|Emerging Markets ||-1.98% ||1.26% ||3.10%|
|Equity Market Neutral ||-0.03% ||0.57% ||5.78%|
|Event Driven ||-0.20% ||0.27% ||-3.13%|
|Fixed Income Arbitrage ||-1.14% ||1.23% ||7.37%|
|Global Macro ||0.76% ||1.22% ||11.52%|
|Long/Short Equity ||-0.47% ||1.01% ||-2.98%|
|Managed Futures ||4.11% ||3.36% ||20.63%|
|Dow Jones Ind. Index ||-12.37% ||-0.84% ||-24.24%|
|MSCI $ World Index ||-10.98% ||0.00% ||-25.33%|
|MSCI EAFE US $ Index ||-10.98% ||-0.47% ||-20.79%|
|NASDAQ Composite ||-10.86% ||-1.01% ||-39.91%|
|S&P 500 ||-11.00% ||0.49% ||-28.99%|
The CSFB/Tremont Hedge Fund Index August NAV is 243.33, returning 143.33% for the 105-month period since inception (January 1, 1994 through September 30, 2002).
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 383 funds as of September 1, 2002, down from 388 as of August 1, 2002. The 5 funds dropped include Harch International Ltd, due to reporting rules; Hilspen Capital Partners LP, which is no longer reporting; JFL Partners I LP, which liquidated; Magus European Fund (EURO), which liquidated; and Poseidon Offshore Partners LP, due to reporting rules.
The Index is constructed using the TASS database of more than 2,600 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 an audited financial statement. Index funds are selected using a formula based on assets under management that ensures the Index always represents at least 85% of total assets in each of nine strategy-based sectors in the selection universe. Once added, funds are not excluded until they liquidate or fail to meet the financial reporting requirements, in order to minimize survivorship bias. The Index is calculated on a monthly basis and adjusted on a going-forward basis for capitalization and return.
The CSFB/Tremont Hedge Fund Index, the largest hedge fund benchmark, was designed to establish a standard for tracking and comparing hedge fund performance against other major asset classes, like the S&P 500, on a global basis. Its web site provides interactive tools that allow users to manipulate the information and customize their research.
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 Advisers, Inc. The company''''s management team includes from CSFB, James Kreitman, Art Mbanefo, Oliver Schupp and James Vos, and from Tremont Advisers, Robert I. Schulman. 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 78 locations in 37 countries across six 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 Advisers, 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 2,600 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.
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