Credit Suisse/Tremont Hedge Fund Index Is Up 3.23% In January
Credit Suisse/Tremont Investable Hedge Fund Index Is Up 1.85% Net In January
Emerging Markets Sector Invest Index Is Up 6.90% Net In January
NEW YORK, NY, February 15, 2006 --- The Credit Suisse/Tremont Hedge Fund Index is up 3.23% for January 2006, which is the highest monthly return since August 2000, according to Oliver Schupp, President of the Credit Suisse Tremont Index LLC and senior member of the Credit Suisse Funds and Alternative Solutions Group.
“Hedge funds continued their strong performance from December into January. The global appetite for risk and strong equity markets pushed the Long/Short sector up 4.18% and the Emerging Markets sector up 5.76% for January 2006,” said Mr. Schupp. “Convertible Arbitrage managers reported a performance of 2.75%, the strongest in 3 years. The managers profited from higher valuations and increased inefficiencies after a year of numerous fund closures in 2005.”
“Event Driven hedge fund managers had one of their strongest months in recent history, taking advantage of a tightened credit spread throughout the month and an increase in announced mergers and acquisitions after the start of the new year,” said Robert I. Schulman, Chief Executive Officer of Tremont Capital Management, Inc. “Global Macro managers started the year strong, reporting 3.37% for January. They were able to generate returns through long equity exposure as well as from short positions in European and Japanese bonds.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. January, December and year-to-date 2006 returns for all categories are listed below and at www.hedgeindex.com.
|Category||Jan 2006||Dec 2005||YTD 06|
|Credit Suisse/Tremont Hedge Fund Index||3.23%||1.61%||3.23%|
|Dedicated Short Bias||-2.98%||-1.96%||-2.98%|
|Equity Market Neutral||1.40%||1.44%||1.40%|
| Risk Arbitrage||1.63%||0.85%||1.63%|
|Fixed Income Arbitrage||1.42%||0.45%||1.42%|
|FTSE All World Index*||5.00%||2.48%||5.00%|
*Total Return Indices
The Credit Suisse/Tremont Hedge Fund Index value is 349.40 returning 249.40% for the 145-month period since inception (January 1, 1994 through January 31, 2006).
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 414 funds as of January 31, 2005. The following funds were added to the Credit Suisse/Tremont Hedge Fund Index: Fortis Investments Convertible Arbitrage Fund, Temujin Holdings Ltd., Martin Group Ltd., Oak Hill Contingent Capital Fund Ltd. and Smith Breeden Mortgage Partners LP.
The following funds were dropped from the constituent list of the Credit Suisse/Tremont Hedge Fund Index: Hasenbichler Multi Strategy Fund Ltd., M&M Arbitrage and RH Capital Associates Number One. AG Arb Partners LP. was dropped from the Credit Suisse/Tremont Hedge Fund Index as it was merged into AG Super Fund LP.
The following funds changed their name: Everest Capital Frontier Fund LP to Everest Capital Emerging Markets LP and Everest Capital Master Fund LP to Everest Capital Global Fund LP.
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 fund 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. In order to minimize survivorship bias funds are not excluded until they liquidate or fail to meet the reporting requirements. 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 1.85% net for the month of January 2006. The confirmed performance for December is up 0.58% net.
Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of January, December and year-to-date 2006 are listed below and at www.hedgeindex.com. The return shown is net of a 0.07% calculation fee.
|Category||Jan 2006||Dec 2005||YTD 06|
|Credit Suisse/Tremont Investable Index||1.85%||0.58%||1.85%|
|Dedicated Short Bias||-3.84%||-1.16%||-3.84%|
|Equity Market Neutral||1.37%||0.72%||1.37%|
|Fixed Income Arbitrage||0.87%||0.32%||0.87%|
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 $378 billion in assets managed by 414 funds as of January 31, 2006.
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:
Credit Suisse Tremont Index LLC is the joint venture company of Credit Suisse Index Co., Inc., a subsidiary of Credit Suisse Inc., and Tremont Capital Management, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
- 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 is a leading global investment bank serving institutional, corporate, government and individual clients. Credit Suisse'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 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 $13 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.
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
John Gallagher (212) 325-0932