Credit Suisse/Tremont Hedge Fund Index Is Down 1.30% in May
Credit Suisse/Tremont Investable Hedge Fund Index Is Down 0.69% Net In May
Dedicated Short Bias Sector Invest Index Is Up 5.01% Net in May
NEW YORK, NY, June 15, 2006 --- The Credit Suisse/Tremont Hedge Fund Index is down 1.30% in May, according to Oliver Schupp, President of the Credit Suisse/Tremont Hedge Fund Index.
“The Credit Suisse/Tremont Hedge Fund Indices performed relatively well with four out of the ten strategies posting positive returns as broad sector diversification tempered the negative performance of the emerging and equity markets for the month of May,” said Oliver Schupp. “After weathering the worst month in almost two years, fears of inflation, continued interest rate increases, and a large drop in consumer confidence, characterized the market climate. As a result, Long/Short Equity managers with large net and gross exposures were caught by the first sign of market uncertainty in two years, and those with low net exposures avoided the bulk of the sell off and produced flat to positive returns from stock specific positions resulting in an aggregate negative performance for the sector of 2.84%. Conversely, Dedicated Short Bias managers took advantage of the downward market trend and performed the strongest with a positive performance of 5.39% for the month of May.”
“With signs that the Federal Reserve would raise interest rates to contain inflation, emerging markets suffered as investors shunned riskier investments resulting in the worst decline of emerging market assets since 1998 and a negative performance for Emerging Market managers of 5.02%,” said Robert I. Schulman, Chief Executive Officer of Tremont Capital Management, Inc. “Increased market volatility and trading volumes acted as a boom to short-term statistical arbitrage programs as investors fled hazardous assets in search of traditional value and large cap, higher rated companies, contributing to the positive performance of Equity Market Neutral managers with 0.82% for the month.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. May, April and year-to-date 2006 returns for all categories are listed below and at www.hedgeindex.com
|Category||May 2006||Apr 2006||YTD 06|
|Credit Suisse/Tremont Hedge Fund Index||-1.30%||2.22%||6.40%|
|Dedicated Short Bias||5.39%||-0.75%||-1.50%|
|Equity Market Neutral||0.82%||2.02%||6.51%|
| Risk Arbitrage||-0.15%||0.30%||3.36%|
|Fixed Income Arbitrage||0.81%||2.05%||4.99%|
|FTSE All World Index*||-3.80%||3.33%||6.63%|
*Total Return Indices
The Credit Suisse/Tremont Hedge Fund Index value is 360.14 returning 260.14% for the 149-month period since inception (January 1, 1994 through May 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 421 funds as of May 31, 2006.
The following funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Buckingham Partners II LP, Brown Simpson Partners I Ltd, and Equalt Pair Trading Fund. The following funds changed names from: Zweig-DiMenna International to Zweig-DiMenna; FrontPoint Value Discovery Fund LP. to Ivory Flagship Strategy; Asymmetric Convertible Fund Ltd. to Global Convertible Opportunities Fund; MN SYS Global to SGAM A.I. Global Equity Systematic Fund; Myers Limited Partnerships to Afton Capital Management; Talentum Activedge & Enhanced to Talentum Activedge & Enhanced Funds; and Pershing Square LP to Pershing Square.
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 down an estimated 0.69% net for the month of May 2006. The confirmed performance for April is up 1.87% net. Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of May, April, 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||May 2006||Apr 2006||YTD 06|
|Credit Suisse/Tremont Investable Index||-0.69%||1.87%||4.96%|
|Dedicated Short Bias||5.01%||-0.55%||-1.72%|
|Equity Market Neutral||0.00%||1.18%||4.06%|
|Fixed Income Arbitrage||0.17%||1.54%||3.27%|
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 $411.9 billion in assets managed by 421 funds as of May 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
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 $9 billion in assets, Tremont maintains offices in Rye, New York; London; Toronto, Hong Kong and Bermuda.
As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 40,000 people. Credit Suisse's parent company, Credit Suisse Group, is a leading global financial services company headquartered in Zurich. Credit Suisse Group's registered shares (CSGN) are listed in Switzerland and, in the form of American Depositary Shares (CSR), in New York. Further information about Credit Suisse can be found at www.credit-suisse.com.
Credit Suisse Asset Management business manages portfolios, mutual funds and other investment vehicles for a broad spectrum of clients globally ranging from governments, institutions and corporations to private individuals. It offers investment products across the full spectrum of asset classes, including equities, fixed income, commodities and multiple-asset class products. Credit Suisse offers the full range of alternative investments including real estate, hedge funds, private equity and volatility management.
The asset management business of Credit Suisse is comprised of a number of legal entities around the world that are subject to distinct regulatory requirements; certain asset management products and services may not be available in all jurisdictions or to all client types.
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
Mary Claire Delaney (212) 325-4290