Credit Suisse/Tremont Hedge Fund
Credit Suisse/Tremont Completes Semi-Annual Rebalancing of two of its Indices
Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index and
Credit Suisse/Tremont Sector Invest Indices rebalanced
New York, October 18, 2007--The Credit Suisse Index Co., Inc announced that as of October 1, 2007, the Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index (“INVX”) and Credit Suisse/Tremont Sector Invest Indices (“SECT”) completed their routine semi-annual rebalancing of funds.
The Credit Suisse/Tremont family of hedge fund indices includes three separate indices:
- The Hedge Fund Index (the “Broad Index”), an asset-weighted benchmark that measures hedge fund performance;
- 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
- The Sector Invest Indices (“SECT”), which provide investment access to any of the ten style-based sectors in the Broad Index on an individual basis.
The rebalancing for INVX resulted in the addition of ten funds, while SECT resulted in the addition of four funds. The Investable Index is constructed on an objective, rules-based methodology, which includes the following criteria:
- Funds for INVX and SECT are selected from the Credit Suisse/Tremont Hedge Fund Index
- Funds generally represent the six largest eligible "open" funds
in each of the ten sectors
- Funds for SECT generally represent a minimum of 70% of the AUM of the Investable universe of the Credit Suisse/Tremont Hedge Fund Index
- Funds are determined by application of the Investable and Sector Invest Index construction rules
The funds that were added in INVX include: The Russian Prosperity Fund; Elm Ridge Value Partners Offshore Fund Inc; Paulson International Ltd; Dexia Money+ Credit Spread; First Quadrant Global Macro Fund Ltd; Kinetics Fund Inc; Rodinia Fund Ltd; Graham Global Investment Fund (Fed Policy); GLG Market Neutral Fund; O`Connor Global Multi-Strategy Alpha LTD.
The funds that were added in SECT include: Tantallon (Non-US Feeder) Fund; Elm Ridge Value Partners Offshore Fund Inc; LCM GIRHF Ltd Opportunity (Program);GLG European Long/Short Fund (Class A).
The new constituent funds were added as of October 1, 2007.
After the rebalancing, the sector weightings for INVX are as follows:
At April 1, 2007 Rebalancing
At October 1, 2007 Rebalancing
|Equity Market Neutral
|Fixed Income Arbitrage
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