Credit Suisse/Tremont Hedge Fund Index Is Down 1.48% in January
Credit Suisse/Tremont AllHedge Index Down 1.93% Net in January
Credit Suisse/Tremont Blue Chip Index Down 1.17% Net in January
New York, February 15, 2008 The Credit Suisse/Tremont Hedge Fund Index was down 1.48% in January, according to Oliver Schupp, President of the Credit Suisse Index Co., Inc.
“Global market indices plunged In January, resulting in the worst monthly performance since 1990 for the Dow and the S&P 500, and the worst January on record for the NASDAQ. Lackluster demand for new issues has started to hit the pipeline for IPOs. The Federal Reserve cut rates twice in January, only a week apart, to bring the federal funds rate to 3.0%, far from the 5.45% rate in August, when the credit crunch and weakening economy first seemed to get the Fed's attention. Euro zone service growth slowed sharply in January from an already weak estimate. Euro zone government bonds rallied as analysts said the services data increased pressure on the European Central Bank to soften its hawkish stance on interest rates. Three of the big four economies (Germany, Spain, Italy and France) in the European Union showed business activity contracting, led mainly by financial services, while only France registered growth during the month,” said Mr. Schupp. “Despite this turbulent market environment, five out of ten hedge fund sectors ended January on a positive note.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. January 2008 and December 2007 returns for all categories are listed below and are available at www.hedgeindex.com.
|Category||Jan 2008||Dec 2007||YTD 08|
|Credit Suisse/Tremont Hedge Fund Index||-1.48%||0.47%||-1.48%|
|Dedicated Short Bias||5.68%||0.06%||5.68%|
|Equity Market Neutral||0.69%||0.48%||0.69%|
| Risk Arbitrage||-0.10%||-0.63%||-0.10%|
|Fixed Income Arbitrage||0.28%||0.21%||0.28%|
The Credit Suisse/Tremont Hedge Fund Index value is 427.40 returning 327.40% for the 169-month period since inception (January 1, 1994 through January 31, 2008).
The Credit Suisse/Tremont Hedge Fund Index is comprised of 500 funds as of January 31, 2008. The following funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: D.E.Shaw Valence Portfolios LLC and Pardus European Special Opportunities.
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 the 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 down an estimated 1.93% net for the month of January 2008. The confirmed performance for December is up 0.20%. The Index is up 8.69% for 2007.
The Credit Suisse/Tremont Blue Chip Index is down an estimated 1.17% net for the month of January 2008. The confirmed performance for December is up 0.20%. The Index is up 7.42% for 2007.
Performance for the Credit Suisse/Tremont AllHedge Index and Blue Chip Index is calculated monthly. Returns for the months of January 2008 and December 2007 are listed below and at www.hedgeindex.com
. The returns shown are net of a 0.07% calculation fee.
|Index||Jan 2008||Dec 2007||YTD 08|
|Credit Suisse/Tremont AllHedge Index||-1.93%||0.20%||-1.93%|
|Sector Invest Convertible Arbitrage||-0.77%||-1.68%||-0.77%|
|Sector Invest Dedicated Short Bias||5.84%||0.68%||5.84%|
|Sector Invest Emerging Markets||-5.82%||1.18%||-5.82%|
|Sector Invest Equity Market Neutral||-1.58%||-0.17%||-1.58%|
|Sector Invest Event Driven||-2.29%||0.01%||-2.29%|
|Sector Invest Fixed Income Arbitrage||0.50%||0.27%||0.50%|
|Sector Invest Global Macro||5.56%||3.03%||5.56%|
|Sector Invest Long/Short Equity||-5.48%||-0.23%||-5.48%|
|Sector Invest Managed Futures||4.12%||-0.25%||4.12%|
|Sector Invest Multi-Strategy||-1.56%||-1.15%||-1.56%|
|Credit Suisse/Tremont Blue Chip Index||-1.17%||0.20%||-1.17%|
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 729 billion in assets managed by 500 funds as of January 31, 2008.
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.
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