September 15, 2004
NEW YORK, NY, September 15, 2004 --- The CSFB/Tremont Hedge Fund Index is up 0.14% for August 2004, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.
"August was a volatile month in both the US and European equity markets," said Mr. Schupp. "Long/Short Equity managers ended largely flat for the month, trading on very low volumes, which is typical at the end of summer."
"The Equity Market Neutral managers were generally positive, resulting in the highest return for the month from that sector," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc. "Increased volatility in the first half of the month generally helped statistical arbitrage managers garner profits. Some fundamental managers, who typically have a long value/short growth bias, posted gains on the short side of their portfolios as growth-driven equities underperformed value driven equities during the month."
Performance for the CSFB/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly. August, July and year-to-date 2004 returns for all categories are listed below and at www.hedgeindex.com.
|Category ||Aug 2004 ||July 2004 ||YTD 04|
|CSFB/Tremont Hedge Fund Index ||0.14% ||-0.31% ||2.75%|
|Convertible Arbitrage ||0.28% ||-0.20% ||0.55%|
|Dedicated Short Bias ||1.27% ||8.12% ||9.10%|
|Emerging Markets ||1.83% ||-0.14% ||3.10%|
|Equity Market Neutral ||2.13% ||0.31% ||4.71%|
|Event Driven ||0.45% ||0.00% ||5.71%|
|Distressed ||0.56% ||0.52% ||7.14%|
|Event Driven Multi-Strategy ||0.38% ||-.34% ||4.78%|
|Risk Arbitrage ||0.18% ||-1.52% ||0.80%|
|Fixed Income Arbitrage ||-0.41% ||0.70% ||4.67%|
|Global Macro ||-0.75% ||0.82% ||4.42%|
|Long/Short Equity ||0.09% ||-1.42% ||1.46%|
|Managed Futures ||-1.53% ||-1.95% ||-6.99%|
|Multi-Strategy ||0.41% ||-0.29% ||2.81%|
| || || || |
|Dow Jones Industrial Index* ||0.34% ||-2.69% ||-2.68%|
|MSCI $ World Index* ||0.48% ||-3.24% ||0.91%|
|MSCI EAFE US $ Index* ||0.46% ||-3.23% ||1.95%|
|NASDAQ Composite US $ Index ||-2.61% ||-7.83% ||-8.25%|
|S&P 500 Index* ||0.40% ||-3.31% ||0.42%|
*Total Return Indices
The CSFB/Tremont Hedge Fund Index value is 294.78, returning 194.78% for the 128-month period since inception (January 1, 1994 through August 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 August 1, 2004.
Only one fund, Morley Alternative Investment Strategy, was dropped from the Index as it is no longer reporting. No funds were added to the Index. In addition, there were 24 technical drops and 11 technical adds last month 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 0.34% net for the month of August 2004. The confirmed performance for July is down 0.17% net.
"The Emerging Markets sector had a positive month, up 2.07%, bringing the sector up 5.42% year-to-date. This gain was due to a combination of positive macro news and a supportive technical backdrop," said Mr. Schupp. "Despite a poor return for August and the fact that the general consensus in the overall Fixed Income Arbitrage sector is that opportunities are poor at present--swap spread volatility has been low, curve shape distortions have been infrequent and basis trading opportunities have been few, the Fixed Income Arbitrage sector is still one of the strongest performers year-to-date."
"The Global Macro sector reported the lowest return for the month, down 1.43%," said Mr. Schulman. "Returns from currency trading were generally flat to down for the month and despite wide dispersion among managers, some benefited from the weaker the rally in August, with 10-year Treasury bonds trading at four month lows."
Performance for the CSFB/Tremont Investable Hedge Fund Index and the ten style-based sector indices is calculated monthly. Returns for the months of August, July 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 ||Aug 2004 ||July 2004 ||YTD 04|
|CSFB/Tremont Investable Hedge Fund Index ||-0.34% ||-0.17% ||0.46%|
|Investable Convertible Arbitrage ||0.18% ||-0.29% ||1.51%|
|Investable Dedicated Short Bias ||2.14% ||5.51% ||5.60%|
|Investable Emerging Markets ||2.07% ||0.52% ||5.42%|
|Investable Equity Market Neutral ||0.27% ||-0.48% ||1.08%|
|Investable Event Driven ||0.00% ||-0.42% ||2.40%|
|Investable Fixed Income Arbitrage ||-1.01% ||0.98% ||3.89%|
|Investable Global Macro ||-1.43% ||0.84% ||1.17%|
|Investable Long/Short Equity ||-0.32% ||-1.61% ||-0.82%|
|Investable Managed Futures ||-1.13% ||-1.74% ||-9.76%|
|Investable Multi-Strategy ||0.31% ||0.09% ||1.56%|
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 August 2004, the aggregate assets under management of the index constituents is over $92 billion.
The funds currently included in the index are available on the web site at www.hedgeindex.com.
Credit Suisse First Boston Tremont Index LLC has made the following change to the CSFB/Tremont Investable Hedge Fund Index: San Gabriel Opportunity Fund was removed from the CSFB/Tremont Fixed Income Arbitrage Investable Index, effective September 1, 2004. This decision was made pursuant to the CSFB/Tremont Investable Hedge Fund Index Rules because San Gabriel Opportunity Fund was fully liquidated as of August 31, 2004.
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 $285 billion in assets managed by 387 funds as of August 1, 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 rule
- 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
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 || |