Credit Suisse/Tremont Hedge Fund Index Is Up 0.13% in September
Credit Suisse/Tremont Investable Hedge Fund Index Is Down 0.19% Net In September
Convertible Arbitrage Sector Invest Index Is Up 0.88% Net in September
New York, October 16, 2006 The Credit Suisse/Tremont Hedge Fund Index is up 0.13% in September, according to Oliver Schupp, President of the Credit Suisse Tremont, LLC.
“The Fed’s decision to keep interest rates stable, due to an expected slow down in US economic growth and successive easing of inflation pressures gave most investors confidence that further interest rate hikes remain unlikely. With this sentiment, hedge funds ended September on a mixed note”, said Oliver Schupp. “As the markets essentially overlooked concerns regarding the US housing sector and negative geopolitical developments, Event Driven managers profited from the positive equity market trend in developed economies ending the month up 0.60%. Dedicated Short Bias managers were inversely affected by positive global equity trends and ended the month down, 3.11% for the month of September.
“As global financial markets were particularly sensitive to growth and inflation news in September, volatility in the global equity markets remained muted for the month and yet strong technical factors led to the richening of overall convertible valuations against a stable credit backdrop for Convertible Arbitrage Managers who ended the month up, 1.15%”, said Robert I. Schulman, Chief Executive Officer of Tremont Group Holdings, Inc. “Managed Futures managers generally experienced a loss on the back of exposure to declining energy prices and ended the month down 1.15%.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. September, August and year-to-date 2006 returns for all categories are listed below and at www.hedgeindex.com
|Category||Sep 2006||Aug 2006||YTD 06|
|Credit Suisse/Tremont Hedge Fund Index||0.13%||0.85%||7.64%|
|Dedicated Short Bias||-3.11%||-0.72%||2.52%|
|Equity Market Neutral||0.20%||0.31%||8.70%|
| Risk Arbitrage||0.22%||0.35%||4.64%|
|Fixed Income Arbitrage||-0.02%||-0.02%||5.86%|
The Credit Suisse/Tremont Hedge Fund Index value is 364.34 returning 264.34% for the 153-month period since inception (January 1, 1994 through September 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 432 funds as of September 30, 2006. The following funds no longer report to the Credit Suisse/Tremont Hedge Fund Index: Mellon HBV Rediscovered Opportunities Fund and Cambrian 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 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 0.19% net for the month of September 2006. The confirmed performance for August is up 0.54%.
Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of September, August, 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||Sep 2006||Aug 2006||YTD 06|
|Credit Suisse/Tremont Investable Index||-0.19%||0.54%||5.39%|
|Dedicated Short Bias||-2.55%||-1.10%||0.72%|
|Equity Market Neutral||0.03%||-0.04%||5.31%|
|Fixed Income Arbitrage||-0.36%||-0.59%||3.28%|
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 $443 billion in assets managed by 432 funds as of September 30, 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:
- The 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 Group Holdings, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
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 62,500 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
In its asset management business, Credit Suisse offers products across the full spectrum of investment classes, ranging from equities, fixed income and multiple-asset class products, to alternative investments such as real estate, hedge funds, private equity and volatility management. Credit Suisse’s asset management business manages portfolios, mutual funds, and other investment vehicles for a broad spectrum of clients ranging from governments, institutions and corporations to private individuals. With offices focused on asset management in 18 countries, Credit Suisse’s asset management business is operated as a globally integrated network to deliver the bank’s best investment ideas and capabilities to clients around the world.
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