NEW YORK, NY, Nov. 15, 2005 --- The CSFB/Tremont Hedge Fund Index is down 1.46% for October 2005, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC and senior member of the CSFB Hedge Fund Investments Group.
"Global equity strategies finished down in October as stock market volatility rose and hedge funds with net long equity exposure were hit by a sudden change in investor sentiment towards more risk averse strategies," said Mr. Schupp. "Losses, however, were limited to certain strategies and did not affect all sectors."
"Global Macro hedge funds were down 0.86% feeling the impact of falling energy prices" said Robert I. Schulman, Chief Executive Officer of Tremont Capital Management, Inc. "Widening credit spreads caused by rising inflation fears caused Event Driven Managers to post negative returns in October.
Performance for the CSFB/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. October, September and year-to-date 2005 returns for all categories are listed below and at www.hedgeindex.com.
| October 2005 || September 2005 || YTD 05 |
CSFB/Tremont Hedge Fund Index
| -1.46% || 1.63% || 4.36% |
| -0.07% || 1.10% || -3.06% |
Dedicated Short Bias
| 2.64% || 3.00% || 20.84% |
| -2.78% || 4.12% || 11.87% |
Equity Market Neutral
| 0.83% || 0.90% || 4.45% |
| -1.82% || 1.07% || 6.04% |
| -0.10% || 1.24% || 8.08% |
Event Driven Multi-Strategy
| -3.10% || 1.00% || 4.79% |
| -1.12% || 0.23% || 1.18% |
Fixed Income Arbitrage
| 0.27% || 0.12% || 0.76% |
| -0.86% || 2.43% || 6.40% |
| -2.29% || 2.02% || 4.40% |
| -1.97% || 1.38% || -1.62% |
| -1.03% || 1.61% || 4.19% |
| || || || |
Dow Jones Industrial Index*
| -1.08% || 0.83% || -1.42% |
MSCI $ World Index*
| -2.41% || 2.63% || 4.09% |
MSCI EAFE US $ Index*
| -2.91% || 4.47% || 6.31% |
NASDAQ Composite US $ Index
| -1.46% || -0.02% || -2.53%|
*Total Return Indices
The CSFB/Tremont Hedge Fund Index value is 328.25 returning 228.25% for the 142-month period since inception (January 1, 1994 through October 31, 2005).
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 419 funds as of October 31, 2005. The following funds are added to the constituent list of the CSFB/Tremont Hedge Fund Index: Paulson Advantage, Drawbridge Global Macro Master Fund Ltd, NewSmith UK Hedge Master Fund Ltd, Odey Japan & General Inc, Braddock Partners Offshore LP, Waterloo, Altima Global Special Situations Master Fund Ltd, Kingdon Capital Management, Renaissance Institutional Equities Fund LLC, Stadia Capital Master Fund Ltd and Stadia Consumer Master Fund Ltd. Primary categories for the following funds have been re-classified: Alexandra Global Master Fund Ltd from Convertible Arbitrage to Multi-Strategy and Permal Europe Ltd from Global Macro to Long/Short Equity.
The Index is constructed using the CSFB/Tremont database of more than 4,500 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 $50 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.
Return for the CSFB/Tremont Investable Hedge Fund Index
The CSFB/Tremont Investable Hedge Fund Index is down an estimated 0.74% net for the month of October 2005. The confirmed performance for September is up 1.26% net.
Performance for the CSFB/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of October, September and year-to-date 2005 are listed below and at www.hedgeindex.com. The return shown is net of a 0.07% calculation fee.
| October 2005 || September 2005 || YTD 2005 |
|CSFB/Tremont Investable Hedge Fund Index || -0.74% || 1.26% || 2.21% |
|Sector Invest Convertible Arbitrage || -0.28% || 1.03% || -1.33% |
|Sector Invest Dedicated Short Bias || 2.95% || 1.89% || 14.88% |
|Sector Invest Emerging Markets || -4.92% || 6.37% || 10.50% |
|Sector Invest Equity Market Neutral || 0.46% || 0.28% || 2.89% |
|Sector Invest Event Driven || -1.25% || 0.60% || 3.21% |
|Sector Invest Fixed Income Arbitrage || 0.42% || 0.65% || 0.82% |
|Sector Invest Global Macro || -1.76% || 1.78% || -0.23% |
|Sector Invest Long/Short Equity || -2.83% || 2.45% || 5.42% |
|Sector Invest Managed Futures || 1.21% || 1.36% || -0.40% |
|Sector Invest Multi-Strategy || -0.74% || 1.22% || 3.41%|
The CSFB/Tremont Investable Hedge Fund Index was launched with 60 funds and was set at 100 on August 1, 2003.
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 $365 billion in assets managed by 419 funds as of October 31, 2005.
The funds in the CSFB/Tremont Investable Index or the CSFB/Tremont Sector Invest Indices are selected from the funds included in the CSFB/Tremont Hedge Fund Index. The CSFB/Tremont Investable Hedge Fund Index and the CSFB/Tremont Sector Invest Index 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.hedgeindex.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
Additional features of the CSFB/Tremont Index series include:
- Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters, Wall Street Journal Asia and Europe.
- 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. Tremont advises on over $10 billion in alternative investment assets. Through its information and market intelligence, 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) 538-8179|
| ||Robert I. Schulman ||(914) 925-1140|
|Meg Bode || |
| ||Mary Claire Delaney || |