January 15 2002
CSFB/TREMONT HEDGE FUND INDEX IS UP 1.2% IN DECEMBER
Emerging Markets Index is Top Performer -- Up 4.8% INDEX UP 4.4% FOR THE YEAR 2001
NEW YORK, NY, January 15, 2002 --- The CSFB/Tremont Hedge Fund Index is up 1.2% for December 2001, according to Robert S. Sloan, Chief Executive Officer of Credit Suisse First Boston Tremont Index LLC. The Index is up 4.4% for the year 2001.
�During December, driven by opportunistic strategies such as global macro and emerging markets, investors benefited from a 1.2% return. More importantly, hedge funds delivered the desired diversification through a moderate correlation of 0.45 versus the S&P 500 and a volatility of around 9% in 2001,� said Mr. Sloan. The CSFB/Tremont Hedge Fund Index finished the year 2001 up 4.4%, surpassing all global indices by a healthy margin while providing the power of diversification.�
�For the second consecutive month, emerging markets funds outperformed other sectors with returns of 4.8%,� added Robert I. Schulman, President of Tremont Advisers. �But the story of the year is the Global Macro Index, up 18.4%. This broadly diversified sector redeemed itself during the year 2001.�
Performance for the CSFB/Tremont Hedge Fund Index and the nine style-based sector indices are calculated monthly. December 2001, November 2001 and year-end returns for all categories are listed below and at www.hedgeindex.com
The CSFB/Tremont Hedge Fund Index has returned 141.17% for the 96-month period since inception (January 1, 1994 through December 31, 2001).
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
|Category ||Dec 2001 ||Nov 2001 ||Y 2001 |
|CSFB/Tremont/Index ||1.2% ||0.5% ||4.4%|
|Convertible Arbitrage ||0.3% ||0.7% ||14.6%|
|Dedicated Short Bias ||-3.0% ||-5.4% ||-3.6%|
|Emerging Markets ||4.8% ||4.0% ||5.8%|
|Equity Market Neutral ||-0.1% ||0.8% ||9.3%|
|Event Driven ||1.1% ||0.8% ||11.5%|
|Fixed Income Arbitrage ||0.2% ||-0.3% ||8.0%|
|Global Macro ||2.5% ||-0.4% ||18.4%|
|Long/Short Equity ||1.2% ||1.1% ||-3.7%|
|Managed Futures ||2.1% ||-8.6% ||1.9%|
|Dow Jones Ind. Index ||1.7% ||8.6% ||-7.1%|
|MSCI EAFE Index ||0.6% ||3.6% ||-22.6%|
|MSCI World Index ||0.6% ||5.8% ||-17.8%|
|S&P 500 ||0.8% ||7.5% ||-13.0%|
|Nasdaq ||1.0% ||14.2% ||-21.1%|
The CSFB/Tremont Hedge Fund Index is comprised of 369 funds as of December 1, 2001, down from 370 funds as of November 1, 2001. Fulcrum Fund LP (B) is no longer reporting performance.
The Index is constructed using a database of more than 2,600 hedge funds. It includes both U.S. and offshore funds, but does not include funds of funds. Funds are not excluded until they liquidate or fail to meet the financial reporting requirements, in order to minimize survivorship bias. In order to qualify for inclusion in the universe, a fund must have US $10 million under management and an audited financial statement. The Index is calculated on a monthly basis and adjusted 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, Paul Calello, Managing Director; Robert S. Sloan, Managing Director; and Roland Lorenzo, Managing Director, and from Tremont Advisers, Robert I. Schulman, President and Co-CEO. 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 over 89 locations across more than 37 countries on 6 continents. The Firm is a business unit of the Zurich-based Credit Suisse Group, a leading global financial services company.
Tremont Advisers, Inc. is a wholly owned subsidiary of Oppenheimer Acquisitions Corp., the parent company of OppenheimerFunds, Inc., one of the nation�s most respected asset managers. Tremont is a diversified holding company, which, through its subsidiaries, is engaged in three core businesses: advisory services, information & research, and investment products for the global alternative investment industry. Tremont holds leadership positions in each of its specialty areas and advises on approximately $9 billion in alternative investment assets. Through its London-based 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 manages in excess of $1 billion in proprietary funds and has more than $200 million in insurance policies related to alternative investments.
Tremont�s wholly owned subsidiaries, Tremont Partners, Inc., and Tremont Securities, Inc. are registered as investment advisers under the Investment Advisers Act of 1940 and as a registered broker/dealer under the Securities Exchange Act of 1934, respectively. Tremont is headquartered in Rye, New York and has offices in Toronto, Bermuda and London.
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: Robert S. Sloan (212) 325-2773
Roland Lorenzo 44 (207) 883-6102
Robert I. Schulman (914) 925-1160
PR Contact: Meg Bode (516) 869-6610