New York, November 7, 2007 The Credit Suisse/Tremont Hedge Fund Index Group announced today that it has launched the Credit Suisse/Tremont AllHedge Index, a new investable hedge fund index derived from the group's market leading Credit Suisse/Tremont Hedge Fund Index (“Broad Index”). The new AllHedge Index is designed to provide investors with a highly diversified asset-weighted investable indicator by providing access to a broad selection of funds in the Sector Invest Indices. It is now available in the Sector Invest Indices section of our website.
Oliver Schupp, President of Credit Suisse Index Co., Inc, said, “We are pleased to announce the launch of the AllHedge Index. AllHedge is a highly diversified index encompassing all ten sectors of the Credit Suisse/Tremont Sector Invest Indices. AllHedge represents the overall performance of the hedge fund universe found in our Sector Invest Indices through a rules-based methodology that follows the sector weights of the Broad Index. AllHedge has an annualized net return of 9.13%* and was up 2.17% net in September 2007.”
The funds in the Credit Suisse/Tremont AllHedge Indices are selected from the funds included in the Credit Suisse/Tremont Sector Invest Indices (“SECT”), weighted according to the Credit Suisse/Tremont Hedge Fund Index, comprise the largest funds that are open to investment, and meet certain liquidity constraints in each of the ten 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 Sector Invest Index based on 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; and
• Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion.
AllHedge is fully rules-based with semi-annual rebalancing and monthly publishing of performance data.
The Credit Suisse/Tremont family of hedge fund indices includes three separate indices:
1. The Hedge Fund Index ( “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, (“SECT”) which provide investment access to any of the ten style-based sectors in the broad index on an individual basis.
Additional features of the Credit Suisse/Tremont Index include the following:
• Transparency via www.hedgeindex.com
and pages on Bloomberg, Reuters, The Wall Street Journal (both the Asian and European versions); and
• A broad suite of index-linked investment products through Credit Suisse.
The Credit Suisse/Tremont Hedge Fund 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, which 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.
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.
* Returns are net of a 0.84% calculation fee per annum.