Credit Suisse/Tremont Hedge Fund Index Is Down -1.21% in November
Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index Down -1.17% Net in November
Credit Suisse/Tremont Dedicated Short Bias Sector Invest Index Up 9.93% Net in November
New York, December 17, 2007 The Credit Suisse/Tremont Hedge Fund Index is down -1.21% in November, according to Oliver Schupp, President of the Credit Suisse Index Co., Inc.
“In November, the U.S. continued to show weakness in everything from personal spending and income to construction spending. Housing prices in the U.K. fell for the third month in a row, and consumer confidence fell to its lowest level since February. After strong signals of impending rate cuts, the Federal Reserve and the Bank of England cut rates in early December. The end of November witnessed a rally in the stock markets as stocks, particularly financials, rose. With pressure of a threatening recession in the U.S., oil prices have fallen back since peaking at $99.29 on November 21st” said Oliver Schupp. “Overall, this market environment has led to eight out of ten hedge fund sectors finishing November on a negative note.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. November, October and year-to-date 2007 returns for all categories are listed below and are available at www.hedgeindex.com
|Category||Nov 2007||Oct 2007||YTD 07|
|Credit Suisse/Tremont Hedge Fund Index||-1.21%||3.16%||12.04%|
|Dedicated Short Bias||10.31%||-2.49%||5.97%|
|Equity Market Neutral||0.56%||1.50%||8.74%|
| Risk Arbitrage||-0.80%||2.13%||9.46%|
|Fixed Income Arbitrage||-0.25%||1.15%||3.61%|
The Credit Suisse/Tremont Hedge Fund Index value is 431.81 returning 331.81% for the 167-month period since inception (January 1, 1994 through November 30, 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 484 funds as of November 30, 2007. The following funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Dickstein & Co., L.P. and IKOS Equity.
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.
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, (“SECT”) which provide investment access to any of the ten style-based sectors in the broad index on an individual basis.
Return for the Blue Chip Credit Suisse/Tremont Investable Hedge Fund Index
The Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index is down an estimated -1.17% net for the month of November 2007. The confirmed performance for October is up 2.64%.
Performance for the Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index is calculated monthly. Returns for the months of November, October, and year-to-date 2007 are listed below and at www.hedgeindex.com
. The return shown is net of a 0.07% calculation fee.
|Category||Nov 2007||Oct 2007||YTD 07|
|Credit Suisse/Tremont Investable Index||-1.17%||2.64%||7.11%|
|Dedicated Short Bias||9.93%||-2.91%||3.68%|
|Equity Market Neutral||-1.05%||1.42%||4.81%|
|Fixed Income Arbitrage||0.30%||1.55%||-4.21%|
The Credit Suisse/Tremont Blue Chip 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 Blue Chip 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 Blue Chip 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 712 billion in assets managed by 484 funds as of November 30, 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 Europe.
- A broad suite of index-linked investment products through 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.
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