Credit Suisse/Tremont Hedge Fund Index Is Down 0.11% in June
Credit Suisse/Tremont Investable Hedge Fund Index Is Down 0.21% Net In June
Dedicated Short Bias Sector Invest Index Is Up 3.15% Net in June
NEW YORK, NY, July 17, 2006 --- The Credit Suisse/Tremont Hedge Fund Index is down 0.11% in June, according to Oliver Schupp, President of the Credit Suisse/Tremont Hedge Fund Index.
“Equity markets across the globe witnessed an increase in intra-month volatility as May's losses spilled into the beginning of June and investors continued to reduce risk across global markets and asset classes,” said Oliver Schupp. “Most equity indices recovered from mid-month lows after expectations of further Fed tightening eased. Long short equity managers were affected by their general long exposure to the equity markets with a negative performance of 1.01% for the month of June, while dedicated short bias managers benefited from the negative market trends in the first half of the month ending the month up by 5.15%."
"Fixed Income Managers returned mixed performance. For the first half of the month, managers following a market-neutral strategy were able to profit from the intra-month volatility, while funds following a directional strategy approach suffered from the negative performance, returning an overall performance of 0.62% for June,” said Robert I. Schulman, Chief Executive Officer of Tremont Group Holdings, Inc. "Managed Futures managers were down by 2.04% for the month, as losses were a result of the reversal in commodity related trends and the downward performing markets.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. June, May and year-to-date 2006 returns for all categories are listed below and at www.hedgeindex.com
|Category||Jun 2006||May 2006||YTD 06|
|Credit Suisse/Tremont Hedge Fund Index||-0.11%||-1.30%||6.29%|
|Dedicated Short Bias||5.15%||5.39%||3.58%|
|Equity Market Neutral||0.27%||0.82%||6.80%|
| Risk Arbitrage||0.20%||-0.15%||3.57%|
|Fixed Income Arbitrage||0.62%||0.81%||5.65%|
|FTSE All World Index*||0.10%||-3.80%||6.73%|
*Total Return Indices
The Credit Suisse/Tremont Hedge Fund Index value is 359.76 returning 259.76% for the 150-month period since inception (January 1, 1994 through June 30, 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 420 funds as of June 30, 2006. The following fund is no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Value Capital LP. The following funds changed names from: New Star Hedge Fund Ltd to New Star UK Hedge Fund Ltd and Rocker Partners to Copper River Partners 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 down an estimated 0.21% net for the month of June 2006. The confirmed performance for May is down 0.80%. Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of June, May, 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||Jun 2006||May 2006||YTD 06|
|Credit Suisse/Tremont Investable Index||-0.21%||-0.80%||4.62%|
|Dedicated Short Bias||3.15%||5.24%||1.59%|
|Equity Market Neutral||0.19%||0.09%||4.35%|
|Fixed Income Arbitrage||0.90%||0.33%||4.36%|
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 Group Holdings 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 Group Holdings, 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 and Hong Kong.
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