Credit Suisse/Tremont Hedge Fund Index Is Up 0.85% in August
Credit Suisse/Tremont Investable Hedge Fund Index Is Up 0.53% Net In August
Long/Short Equity Sector Invest Index Is Up 1.94% Net in August
NEW YORK, NY, September 15, 2006 --- The Credit Suisse/Tremont Hedge Fund Index is up 0.85% in August, according to Oliver Schupp, President of the Credit Suisse/Tremont Hedge Fund Index.
“With the economy slowing, the Federal Reserve on August 8th halted its campaign to increase interest rates after more than two-years of hikes,” said Oliver Schupp. “The pause gives policymakers the opportunity to assess the market's reaction to their previous rates hikes. The markets reacted positively to the pause and Long/Short Equity Managers benefited with an increase of 1.54% for the month of August, said Oliver Schupp. The Event Driven Sector profited from an environment of high degrees of liquidity, tightening European credit spreads and widening US credit spreads, which induced positive returns of 1.05%.”
“After May and June's sell-off, the Emerging Markets sector acted resilient, ending the month up 1.42%, said Robert I. Schulman, Chief Executive Officer of Tremont Group Holdings, Inc. The strong directional trend of the commodities market enabled the trend following Managed Futures Sector to gain positive traction ending the month up 1.39%."
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. August, July and year-to-date 2006 returns for all categories are listed below and at www.hedgeindex.com
|Category||Aug 2006||Jul 2006||YTD 06|
|Credit Suisse/Tremont Hedge Fund Index||0.85%||0.29%||7.50%|
|Dedicated Short Bias||-0.72%||2.89%||5.81%|
|Equity Market Neutral||0.31%||1.26%||8.48%|
| Risk Arbitrage||0.35%||0.46%||4.42%|
|Fixed Income Arbitrage||-0.02%||0.24%||5.88%|
The Credit Suisse/Tremont Hedge Fund Index value is 363.87 returning 263.87% for the 152-month period since inception (January 1, 1994 through August 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 434 funds as of August 31, 2006. The following fund is no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: AG & J Power Fund. The following hedge funds changed names: Oak Hill Contingent Capital Fund Ltd. to Platinum Grove Contingent Capital Fund, and Fortis Investments Convertible Arbitrage Fund to Fortis Alpha Strategies Convertible Arbitrage. For the avoidance of doubt, the new reference to Kingate Global / Fairfield Sentry on the constituent’s page of HedgeIndex.com (previously shown as Kingate Global Fund Ltd.) is not an indication of a change in legal name but instead marks the addition of Fairfield to the composite structure for purposes of calculating the Index. This composite structure is now comprised of Kingate Global Fund Ltd., Rye Select Broad Market Portfolio Ltd, and Fairfield Sentry Fund. Hedge funds, vehicles, share classes and/or words of similar meaning (other than managed or separate accounts) managed in substantially the same manner by a Fund Manager are aggregated for the purposes of calculating the Index. This includes but is not limited to Hedge Funds that are of different domiciles, currencies, leverage or fee classes, where the different Hedge Fund entities materially trade the same strategy and have portfolio compositions largely identical for all practical purposes.
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 0.53% net for the month of August 2006. The confirmed performance for July is up 0.27%.
Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of August, July, 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||Aug 2006||Jul 2006||YTD 06|
|Credit Suisse/Tremont Investable Index||0.53%||0.27%||5.57%|
|Dedicated Short Bias||-1.06%||2.94%||3.40%|
|Equity Market Neutral||-0.11%||1.06%||5.21%|
|Fixed Income Arbitrage||-0.47%||-0.08%||3.78%|
The Credit Suisse/Tremont Investable Hedge Fund Index was launched with 60 funds and was set at a value of 100 on August 1, 2003. The funds currently included in the index are available on the website 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 $440 billion in assets managed by 434 funds as of August 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 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 $8 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
John Gallagher (212) 325-0932