August 15, 2002
CSFB/TREMONT HEDGE FUND INDEX IS DOWN -1.35% IN JULY
Managed Futures Index is Top Performer -- Up 6.12%
NEW YORK, NY, August 15, 2002 --- The CSFB/Tremont Hedge Fund Index is down -1.35% for July 2002, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.
"Hedge funds posted mixed results in July," said Mr. Schupp. "Some strategies enjoyed excellent performance while others languished, however, on the whole, hedge funds continue to protect diversified portfolios from the very steep declines we have seen this year. With the major global indices down double digits, the -0.03% year-to-date decline in hedge fund performance pales by comparison."
"For the third consecutive month, managed futures funds, posting 6.12% gains in July, outperformed all other style-based strategies. Up more than 12% for the year, this performance demonstrates the importance of diversification within a hedge fund portfolio," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers.
Performance for the CSFB/Tremont Hedge Fund Index and the nine style-based sector indices is calculated monthly. July, June and year-to-date 2002 returns for all categories are listed below and at www.hedgeindex.com.
|Category ||July 2002 ||June 2002 ||Y 2002|
|CSFB/Tremont/Index ||-1.35% ||-0.84% ||-0.03%|
|Convertible Arbitrage ||-1.55% ||-0.33% ||-2.54%|
|Dedicated Short Bias ||4.41% ||7.63% ||14.08%|
|Emerging Markets ||-1.19% ||-3.75% ||3.88%|
|Equity Market Neutral ||1.84% ||0.52% ||5.22%|
|Event Driven ||-3.10% ||-2.93% ||-3.20%|
|Fixed Income Arbitrage ||1.08% ||0.65% ||7.28%|
|Global Macro ||2.15% ||1.42% ||9.35%|
|Long/Short Equity ||-2.95% ||-1.26% ||-3.49%|
|Managed Futures ||6.12% ||8.63% ||12.11%|
|Dow Jones Ind. Index ||-5.48% ||-6.87% ||-12.82%|
|MSCI $ World Index ||-8.51% ||-6.20% ||-17.24%|
|MSCI EAFE US $ Index ||-9.94% ||-4.14% ||-12.43%|
|NASDAQ Composite ||-9.22% ||-9.44% ||-31.90%|
|S&P 500 ||-7.90% ||-7.25% ||-20.60%|
The CSFB/Tremont Hedge Fund Index July NAV is 241.10, returning 141.10% for the 103-month period since inception (January 1, 1994 through July 31, 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 391 funds as of July 1, 2002, up from 384 as of May 1, 2002. Nine funds were added, including EGM-EEGO LP, Value Partners "A" Fund, New Providence Global Value Fund, Sandler Communications Offshore Fund Inc, Strong Special Investment LP, Sagamore Hill Partners LP, VR Distressed Assets Fund Ltd, Lion Global Opportunity Fund, and Morley Alternative Investment Strategy Fund PCC Ltd. Two Funds were dropped including ACM US Growth Strategies Fund (Class I) and ACM US Growth Strategies Fund (Class N), both of which stopped reporting.
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 only asset-weighted 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) 325-4278
Robert I. Schulman (914) 925-1140
PR Contact: Meg Bode (516) 869-6610