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November 15, 2004


November 15, 2004

NEW YORK, NY, November 15, 2004  --- The CSFB/Tremont Hedge Fund Index is up 1.28% for October 2004, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC. 

 "Benefiting largely from the FX market through short positions on the US Dollar, the Managed Futures sector reported a positive return of 4.82%," said Mr. Schupp.  "This strategy is dominated by trend-following systems and most trend following managers generated positive performance for the month.  The actively traded currencies had generally been trading in a relatively confined range for the past four to six months and finally broke out of the range strongly in October."

 "Markets shared similar patterns in October, with many of the major world indices climbing in the early days of the month, only to face steady declines in the subsequent weeks as oil prices hit new highs and the markets embraced uncertainties," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc. "The pattern reversed later in October, as the markets shifted into an upturn and climbed steadily through the last days of the month as China raised interest rates, oil prices declined sharply, the regulatory concerns in the insurance industry calmed down somewhat and US equity markets entered into a pre-election rally.  The Dedicated Short Bias sector was generally hurt by this market upturn, reporting a return of negative 1.78%." 

Performance for the CSFB/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly.  October, September and year-to-date 2004 returns for all categories are listed below and at www.hedgeindex.com.

Category  Oct 2004  Sep 2004  YTD 04
CSFB/Tremont Hedge Fund Index  1.28%  1.01%  5.12%
Convertible Arbitrage  -0.29%  -0.07%  0.20%
Dedicated Short Bias  -1.78%  -1.91%  5.11%
Emerging Markets  2.40%  2.33%  8.04%
Equity Market Neutral  0.03%  0.54%  5.30%
Event Driven  1.24%  1.27%  8.37%
     Distressed  1.86%  1.23%  10.48%
     Event Driven Multi-Strategy  0.73%  1.35%  6.97%
     Risk Arbitrage  0.92%  0.63%  2.37%
Fixed Income Arbitrage  1.14%  -0.78%  5.03%
Global Macro  1.22%  -0.49%  5.18%
Long/Short Equity  1.44%  2.36%  5.35%
Managed Futures  4.82%  1.96%  -0.59%
Multi-Strategy  0.59%  0.57%  4.01%
       
Dow Jones Industrial Index*  -0.36%  -0.80%  -2.48%
MSCI $ World Index*  2.47%  1.92%  5.39%
MSCI EAFE US $ Index*  3.42%  2.63%  8.20%
NASDAQ Composite US $ Index  4.12%  3.20%  -1.42%
                 *Total Return Indices

The CSFB/Tremont Hedge Fund Index value is 301.59, returning 201.59% for the 130-month period since inception (January 1, 1994 through October 31, 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 387 funds as of October 31, 2004.

Eleven funds were added to the Index in October: Whitebox Convertible Arbitrage Partners, Barclays Global Investors European Market Neutral Fund, Blackthorn Fund, Third Point, LCM Global Interest Rate Hedged Fund Limited, Chilton New Era Strategy, Melchior Japan Fund, FrontPoint Healthcare Fund, Yield, Absolute Return Europe Fund and Winton Futures Fund.  In addition, there were 3 technical drops and 2 technical adds last month as a result of the aggregation of various share classes of the same fund into a composite vehicle. Two funds, Argo and Essex Performance, were dropped from the Index because they are 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 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 up an estimated 1.41% net for the month of October 2004.  The confirmed performance for September is up 0.47% net.

Performance for the CSFB/Tremont Investable Hedge Fund Index and its ten sub strategies is calculated monthly. Returns for the months of October and September 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  Oct 2004  Sep 2004  YTD 04
CSFB/Tremont Investable Hedge Fund Index  1.41%  0.47%  2.40%
Investable Convertible Arbitrage  -0.24%  -0.12%  1.15%
Investable Dedicated Short Bias  -1.63%  -2.69%  0.98%
Investable Emerging Markets  1.87%  2.73%  11.10%
Investable Equity Market Neutral  0.26%  -0.26%  1.08%
Investable Event Driven  1.00%  0.90%  4.43%
Investable Fixed Income Arbitrage  1.03%  -2.21%  2.49%
Investable Global Macro  0.82%  -0.91%  1.14%
Investable Long/Short Equity  1.92%  3.43%  4.71%
Investable Managed Futures  5.27%  1.96%  -3.13%
Investable Multi-Strategy  0.61%  0.23%  2.41%

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.  As of November 1, 2004, the aggregate assets under management of the index constituents are over $93 billion. 

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 $298 billion in assets managed by 387 funds as of October 31, 2004.

The funds in the CSFB/Tremont Investable Index, selected from the funds included in the broad 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
  • Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion

The CSFB/Tremont Investable Hedge Fund Index is 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 
  • A broad suite of index-linked investment products through CSFB

Returns for the CSFB/Tremont  Sector Invest Indices

Performance for the CSFB/Tremont Sector Invest Indices is calculated monthly. Returns for the month of October and year-to-date 2004 for all Sector Invest Indices are listed below and at www.hedgeindex.com.  The returns shown are net of a 0.07% calculation fee.

Index  Oct 2004  YTD 2004
Sector Invest Convertible Arbitrage  -0.42%  -0.42%
Sector Invest Dedicated Short Bias  -1.64%  -1.64%
Sector Invest Emerging Markets  1.89%  1.89%
Sector Invest Equity Market Neutral  0.09%  0.09%
Sector Invest Event Driven  1.20%  1.20%
Sector Invest Fixed Income Arbitrage  0.61%  0.61%
Sector Invest Global Macro  0.07%  0.07%
Sector Invest Long/Short Equity  1.35%  1.35%
Sector Invest Managed Futures  5.37%  5.37%
Sector Invest Multi-Strategy  0.45%  0.45%

The CSFB/Tremont Sector Invest Indices were launched with 114 funds across 10 style-based sectors.  Each Sector Invest Index was set at 100 on October 1, 2004.  As of October 31, 2004, the aggregate assets under management of the index constituents are over $130 billion. 

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

These new indices are constructed to provide objective benchmarks of the style-based investment strategies in the hedge fund universe.  They fulfill investor demand for index-linked products created to reduce dependency on fund manager selection and fund concentration risk while allowing investors to play an active role in their tactical asset allocation.

The CSFB/Tremont Sector Invest Indices are derived from the broad CSFB/Tremont Hedge Fund Index, the most widely quoted hedge fund index in the world with $298 billion in assets managed by 387 funds as of October 31, 2004.

The funds in the CSFB/Tremont Sector Invest Indices, selected from the funds included in the broad index, generally comprise the 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 largest eligible "open" funds in each of the ten sectors
  • The funds are determined by application of the construction rules
  • Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion

The CSFB/Tremont Sector Invest Indices are calculated monthly and will be re-balanced semi-annually.

Additional features of the Sector Invest Indices include:

  • Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters 
  • A broad suite of index-linked investment products through CSFB

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 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 over  $11 billion in alternative investment assets.  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 is headquartered in Rye, New York and has offices in Toronto, Bermuda and London.

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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 Contacts: Meg Bode

(516) 869-6610

Victoria Harmon

(212) 325-6914


© 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.