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September 17, 2007

Credit Suisse/Tremont Hedge Fund Index Is Down 1.53% in August

Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index Down 1.89% Net in August

Credit Suisse/Tremont Managed Futures Sector Invest Index Down 4.18% Net in August

New York, September 17, 2007 The Credit Suisse/Tremont Hedge Fund Index is down 1.53% in August, according to Oliver Schupp, President of the Credit Suisse Index Co., Inc. 
 
The Credit Suisse/Tremont family of hedge fund indices includes three separate indices:
 
1. The Hedge Fund Index (the “Broad Index”), an asset-weighted benchmark that measures hedge fund performance;
 
2. The Blue Chip Investable Index (“INVX”), an investable index comprised of 60 funds across the ten style-based sectors in the broad index that are open to investment; and
 
3. The Sector Invest Indices, which provide investment access to any of the ten style-based sectors in the broad index on an individual basis.
 
“In August, the subprime mortgage contagion led to a widespread sell off that swept equities, commodities and low-grade credit markets. The sell off was exacerbated by the highest jump in the overnight loan rate in over six years and banks and brokerages reported declining values in credit investments. Correspondingly, inflation in China accelerated to the highest rate in more than ten years, volatility soared and U.S. consumer confidence reached its lowest level since 2005,” said Oliver Schupp.
 
He went on to say, “Overall, this market environment has negatively impacted the performance of all hedge fund sectors within the Credit Suisse/Tremont Hedge Fund Index. The Managed Futures sector was particularly affected, down 4.61% as an overall flight to quality by investors fueled by subprime and credit-related concerns triggered reversals in most of the established trends (including energy, fixed income, and currencies) in the sector.”
 
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. August, July and year-to-date 2007 returns for all categories are listed below and available at www.hedgeindex.com

CategoryAug 2007Jul 2007YTD 07
Credit Suisse/Tremont Hedge Fund Index-1.53%0.00%7.03%
Convertible Arbitrage-1.08%-1.11%2.87%
Dedicated Short Bias-1.14%7.14%3.64%
Emerging Markets-2.37%2.55%9.43%
Equity Market Neutral-0.39%0.40%5.17%
Event Driven-1.88%0.97%9.77%
      Distressed-1.73%-0.24%6.97%
      Multi-Strategy-2.03%1.80%12.12%
      Risk Arbitrage-0.65%0.43%4.67%
Fixed Income Arbitrage-0.87%-1.96%0.82%
Global Macro-0.62%0.96%8.31%
Long/Short Equity-1.38%-0.69%7.45%
Managed Futures-4.61%-4.79%-2.48%
Multi-Strategy-1.40%-0.26%6.55%

The Credit Suisse/Tremont Hedge Fund Index value is 412.52 returning 312.52% for the 164-month period since inception (January 1, 1994 through August 31, 2007).
 
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 456 funds as of August 31, 2007.  The following funds have been removed from the Credit Suisse/Tremont Hedge Fund Index: Copper Beech Fund and Bear Stearns High Grade Structured Credit Strategies Master Fund Ltd.
 
The Index is constructed using the Credit Suisse/Tremont database of more than 5,000 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 1.89% net for the month of August 2007.  The confirmed performance for July is down 0.85%.
 
Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of August, July, and year-to-date 2007 are listed below and at www.hedgeindex.com. The return shown is net of a 0.07% calculation fee.

CategoryAug 2007Jul 2007YTD 07
Credit Suisse/Tremont Investable Index-1.89%-0.85%3.51%
Convertible Arbitrage-1.33%-1.90%0.14%
Dedicated Short Bias-0.57%6.44%1.55%
Emerging Markets-2.67%3.42%6.13%
Equity Market Neutral-0.71%0.08%3.20%
Event Driven-2.06%-0.18%7.19%
Fixed Income Arbitrage-0.07%0.83%-7.03%
Global Macro-1.75%0.63%4.37%
Long/Short Equity-1.47%-1.33%5.38%
Managed Futures-4.18%-3.80%-2.26%
Multi-Strategy-1.05%-0.17%5.59%

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 approximately USD 626 billion in assets managed by 456 funds as of August 31, 2007.

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:

  • Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters, Wall Street Journal Asia and Wall Street Journal Europe. 
  • A broad suite of index-linked investment products through Credit Suisse

Credit Suisse 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 45,000 people. Credit Suisse's parent company, Credit Suisse Group, is a leading global financial services company headquarterd in Zurich. Credit Suisse Group's registered shares (CSGN) are listed in Switzerland and, in the form of American Depositary Shares (CS), 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.

Information Oliver Schupp, Credit Suisse, telephone 212 538 8179, oliver.schupp@credit-suisse.comMeg Bode, Bode Associates, telephone 516 869 6610, meg@bodeassociates.comSuzanne Fleming, Credit Suisse, telephone 212 325 7396, suzanne.fleming@credit-suisse.com


© 1999-2014 Credit Suisse Hedge Index LLC. All rights reserved.Credit Suisse Hedge Fund Index was formerly known as Dow Jones Credit Suisse Hedge Fund Index from June 22, 2010 to September 15, 2013. Credit Suisse AllHedge Index was formerly known as Dow Jones Credit Suisse AllHedge Index from June 22, 2010 to September 15, 2013. Credit Suisse Blue Chip Hedge Fund Index was formerly known as Dow Jones Credit Suisse Blue Chip Hedge Fund Index from June 22, 2010 to September 15, 2013.