NEW YORK, NY, Jan. 17, 2006 --- The Credit Suisse/Tremont Hedge Fund Index is up 1.61% for December 2005 and 7.61% for the year 2005, according to Oliver Schupp, President of the Credit Suisse Tremont Index LLC and senior member of the Credit Suisse Funds and Alternative Solutions Group.
"Long/Short Equity, the largest sector of the Credit Suisse/Tremont Hedge Fund Index, finished December up 2.78%. In the second half of the year, especially strong European and Japanese Equity markets pushed the Long/Short Equity sector to almost 10% gain for 2005. Emerging Markets managers were up 2.44% in December, making it the best performing strategy of the year with performance of 17.39%. These managers were closely followed by Dedicated Short Bias managers who posted gains of 17.00% for the year, benefiting from plenty of stock picking opportunities in U.S. equity markets," commented Mr. Schupp. "Managed Futures funds reported an overall negative result of 2.53% in December. The negative return was primarily due to losses in currency and fixed income trading, especially the U.S. dollar, which sold off intra-month."
"Event Driven managers overall reported a 1.45% gain in December totaling 8.95% for 2005. These managers were able to generate profits on the back of higher trading high yield bonds and a larger set of opportunities in the M&A market," said Robert I. Schulman, Chief Executive Officer of Tremont Capital Management, Inc. "Currency trading, long European and Asian equities, and short Japanese fixed income trading gave Global Macro managers the opportunity to post a positive return of 1.58% for the month of December."
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. December, November and year-to-date 2005 returns for all categories are listed below and at www.hedgeindex.com.
|Category || December 2005 || November 2005 || YTD 05 |
|Credit Suisse/Tremont Hedge Fund Index || 1.61% || 1. 48% || 7.61% |
|Convertible Arbitrage || 0.96% || -0.43% || -2.55% |
|Dedicated Short Bias || -1.96% || -1.25% || 17.00% |
|Emerging Markets || 2.44% || 2.43% || 17.39% |
|Equity Market Neutral || 1.44% || 0.18% || 6.14% |
|Event Driven || 1.45% || 1.28% || 8.95% |
|Distressed || 1.73% || 1.63% || 11.74% |
|Event Driven Multi-Strategy || 1.27% || 1.03% || 7.21% |
|Risk Arbitrage || 0.85% || 1.01% || 3.08% |
|Fixed Income Arbitrage || 0.45% || -0.58% || 0.63% |
|Global Macro || 1.58% || 1.08% || 9.25% |
|Long/Short Equity || 2.78% || 2.22% || 9.68% |
|Managed Futures || -2.53% || 4.17% || -0.11% |
|Multi-Strategy || 1.89% || 1.30% || 7.54% |
| || || || |
|Dow Jones Industrial Index* || -0.71% || 3.91% || 1.71% |
|MSCI $ World Index* || 2.24% || 3.39% || 10.02% |
|MSCI EAFE US $ Index* || 4.66% || 2.47% || 14.02% |
|NASDAQ Composite US $ Index || -1.23% || 5.31% || 1.37%|
*Total Return Indices
The Credit Suisse/Tremont Hedge Fund Index value is 338.48 returning 238.48% for the 144-month period since inception (January 1, 1994 through December 31, 2005).
For additional current and historical data including more comparisons with other widely followed global indices, visit the Credit Suisse/Tremont Hedge Fund Index web site at www.hedgeindex.com.
The Credit Suisse/Tremont Hedge Fund Index is comprised of 413 funds as of December 31, 2005. The following funds were dropped from the constituent list of the Credit Suisse/Tremont Hedge Fund Index: Greenlight Capital, Optima The Medscience Partners Fund Limited and Lakeshore and Hayworth.
The following funds changed their name: Iceberg Fund Limited to Matthes Capital Management and Julius Baer Diversified Fixed Income Hedge Fund to JB Diversified Fixed Income Hedge Fund.
The Index is constructed using the Credit Suisse/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 Credit Suisse/Tremont Investable Hedge Fund Index
The Credit Suisse/Tremont Investable Hedge Fund Index is up an estimated 0.51% net for the month of December 2005. The confirmed performance for November is up -0.81% net.
Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of December, November and year-to-date 2005 are listed below and at www.hedgeindex.com. The return shown is net of a 0.07% calculation fee.
|Category || December 2005 || November 2005 || YTD 2005 |
|CSFB/Tremont Investable Hedge Fund Index || 0.51% || 0.81% || 3.54% |
|Sector Invest Convertible Arbitrage || 0.42% || -0.48% || -1.45% |
|Sector Invest Dedicated Short Bias || -1.13% || -3.19% || 9.98% |
|Sector Invest Emerging Markets || 2.97% || 2.67% || 16.60% |
|Sector Invest Equity Market Neutral || 0.67% || 0.59% || 4.16% |
|Sector Invest Event Driven || 1.18% || 0.97% || 5.45% |
|Sector Invest Fixed Income Arbitrage || 0.27% || -0.50% || 0.55% |
|Sector Invest Global Macro || 0.56% || 0.00% || 0.11% |
|Sector Invest Long/Short Equity || 2.19% || 1.80% || 9.79% |
|Sector Invest Managed Futures || -3.27% || 3.28% || -0.57% |
|Sector Invest Multi-Strategy || 1.56% || 0.46% || 5.56% |
The Credit Suisse/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 Credit Suisse/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 Credit Suisse/Tremont Investable Hedge Fund Index is based on the broad Credit Suisse/Tremont Hedge Fund Index, which is the largest hedge fund index with $367 billion in assets managed by 413 funds as of December 31, 2005.
The funds in the Credit Suisse/Tremont Investable Index or the Credit Suisse/Tremont Sector Invest Indices are selected from the funds included in the Credit Suisse/Tremont Hedge Fund Index. The Credit Suisse/Tremont Investable Hedge Fund Index and the Credit Suisse/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 Credit Suisse/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 Credit Suisse/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 Credit Suisse
Credit Suisse Tremont Index, LLC is the joint venture company of Credit Suisse Index Co., Inc., a subsidiary of Credit Suisse Co., Inc., and Tremont Capital Management, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
Credit Suisse is a leading global investment bank serving institutional, corporate, government and individual clients. Credit Suisses'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. Credit Suisse 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 a leading hedge fund asset management firm which provides and manages investment products and customized portfolios, and offers related services, on a worldwide basis. Currently managing approximately $11 billion in assets, Tremont maintains offices in Rye, New York; London; Toronto and Bermuda.
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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 (516) 869-6610
Delaney, Mary Claire (212) 325-4290