Credit Suisse/Tremont Hedge Fund Index Is Up 0.47% in December, Ends 2007 up 12.56%
Credit Suisse/Tremont AllHedge Index Up 0.31% Net in December
Credit Suisse/Tremont Blue Chip Index Up 0.15% Net in December
New York, January 15, 2008 The Credit Suisse/Tremont Hedge Fund Index was up 0.47% in December, according to Oliver Schupp, President of the Credit Suisse Index Co., Inc. The Index finished 2007 up 12.56%.
“Global market indices were relatively flat for the month of December. The U.S. continued to show weakness in many sectors as the credit crunch of 2007 continued to affect financial markets worldwide. U.S. manufacturing indicators were at their lowest since April 2003. At the December 11 Federal Open Market Committee meeting, the Federal Reserve cut rates for the third-straight time and also lowered the discount rate. In the U.K., a slowdown in manufacturing growth pushed the Bank of England to cut the benchmark interest rate for the first time in two years. Crude oil ended the year at $95.98 per barrel, a 57% surge over the 2006 year-end figure, and had flirted with the $100 mark over the prior two months” said Mr. Schupp. “Overall, this market environment has resulted in eight out of ten hedge fund sectors ending December on a positive note.”
Credit Suisse/Tremont announced that it has redesigned its website, www.hedgeindex.com
. The website highlights the new AllHedge Index and is easier to navigate than the previous site. The Research section, one of the most popular areas of the site, is now directly accessible from the home page. The site also continues to provide additional current and historical data, including comparisons with other widely followed global indices.
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. December, November and year-end 2007 returns for all categories are listed below and are available at www.hedgeindex.com
|Category||Dec 2007||Nov 2007||YTD 07|
|Credit Suisse/Tremont Hedge Fund Index||0.47%||-1.21%||12.56%|
|Dedicated Short Bias||0.06%||10.31%||6.04%|
|Equity Market Neutral||0.48%||0.56%||9.27%|
| Risk Arbitrage||-0.63%||-0.80%||8.77%|
|Fixed Income Arbitrage||0.21%||-0.25%||3.83%|
The Credit Suisse/Tremont Hedge Fund Index value is 433.82 returning 333.82% for the 168-month period since inception (January 1, 1994 through December 31, 2007).
The Credit Suisse/Tremont Hedge Fund Index is comprised of 481 funds as of December 31, 2007. The following funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: AG Convertibles, Balanced International Investment Strategies (BIIS) NV, and Levco Alternative Fund.
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 AllHedge Index (“SECTAH”), an investable index comprised of all 10 Credit Suisse/Tremont Sector Invest indices weighted according to the sector weights of the Broad Index; and
3. The Blue Chip Index (“INVX”), an investable index comprised of 60 largest funds across the ten style-based sectors in the broad index.
Returns for the Credit Suisse/Tremont AllHedge Index and the Credit Suisse/Tremont Blue Chip Index
The Credit Suisse/Tremont AllHedge Index is up an estimated 0.31% net for the month of December 2007. The confirmed performance for November is down -1.18%. The Index is up 8.82% for 2007.
The Credit Suisse/Tremont Blue Chip Index is up an estimated 0.15% net for the month of December 2007. The confirmed performance for November is down -1.08%. The Index is up 7.36% for 2007.
Performance for the Credit Suisse/Tremont AllHedge Index and Blue Chip Index is calculated monthly. Returns for the months of December, November, and year-to-date 2007 are listed below and at www.hedgeindex.com
. The returns shown are net of a 0.07% calculation fee.
|Category||Dec 2007||Nov 2007||YTD 07|
|Credit Suisse/Tremont Blue Chip Index||0.15%||-1.08%||7.36%|
|Dedicated Short Bias||0.59%||9.67%||4.04%|
|Equity Market Neutral||-0.27%||-0.81%||4.77%|
|Fixed Income Arbitrage||0.24%||1.25%||-3.07%|
The Credit Suisse/Tremont AllHedge Index is based on the Credit Suisse/Tremont Sector Invest Indices and includes all ten Sector Invest Indices weighted according to the sector weights of the broad Credit Suisse/Tremont Hedge Fund Index. The Credit Suisse/Tremont AllHedge Index was launched with 119 funds and was set at a value of 100 on October 1, 2004. The funds currently included in the index are available on the website at www.hedgeindex.com. The Credit Suisse/Tremont AllHedge 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 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 Index is designed to give investors exposure to blue chip hedge funds as an asset class. The Credit Suisse/Tremont Blue Chip Index is based on the broad Credit Suisse/Tremont Hedge Fund Index, which is the largest hedge fund index with approximately USD 714 billion in assets managed by 481 funds as of December 31, 2007.
The funds in the Credit Suisse/Tremont AllHedge Index, the Credit Suisse/Tremont Sector Invest Indices, and the Credit Suisse/Tremont Blue Chip Index are selected from the funds included in the Credit Suisse/Tremont Hedge Fund Index. The Credit Suisse/Tremont AllHedge Index, the Credit Suisse/Tremont Sector Invest Indices, and the Credit Suisse/Tremont Blue Chip Index comprise the largest funds that are open to investment and meet certain liquidity constraints 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
• 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.
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.
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