Credit Suisse/Tremont Hedge Fund Index Is Up 1.61% in February
Credit Suisse/Tremont AllHedge Index Up 0.87% Net in February
Credit Suisse/Tremont Blue Chip Index Up 0.99% Net in February
New York, March 17, 2008 The Credit Suisse/Tremont Hedge Fund Index was up 1.61% in February, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
“Although February showed marked improvement from January, global markets continued to fall amidst rising inflationary pressures and slowing economic growth. The S&P 500 Total Return Index fell -3.25% compared to -6.00% for January, while the MSCI Emerging Markets Index returned 7.25% for February. Although the federal funds rate did not change, economic indicators suggested that continued turbulence in the market remains. As the dollar continued its downward slide, crude oil prices climbed to new highs by the end of February. Hedge funds weathered the storm well and, despite the market turmoil, six out of ten hedge fund sectors ended February on a positive note,” said Mr. Schupp.
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. February, January and 2008 year-to-date returns for all categories are listed below and are available at www.hedgeindex.com.
|Category||Feb 2008||Jan 2008||YTD 08|
|Credit Suisse/Tremont Hedge Fund Index||1.61%||-1.48%||0.10%|
|Dedicated Short Bias||-0.89%||5.68%||4.74%|
|Equity Market Neutral||1.07%||0.69%||1.77%|
| Risk Arbitrage||1.26%||-0.10%||1.16%|
|Fixed Income Arbitrage||-0.66%||0.28%||-0.38%|
The Credit Suisse/Tremont Hedge Fund Index value is 434.26 returning 334.26% for the 170-month period since inception (January 1, 1994 through February 29, 2008).
The Credit Suisse/Tremont Hedge Fund Index is comprised of 487 funds as of February 29, 2008. The following funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Medallion Fund LP, Imperium Master Fund LP, JWH Global Strategies Ltd (Strategic Allocation Program), ACM High Grade Strategy, New Star UK Hedge Fund Ltd., Green Coast, SGAM A.I. Global Equity Systematic Fund, Optima The Cuttyhunk Fund Limited, Afton Capital Management, Hasenbichler Commodities A.G., BlueCrest Equity Master Fund Limited, Stadia Consumer Master Fund Ltd., and Sagamore Hill Hub Fund Ltd.
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 up an estimated 0.87% net for the month of February 2008. The confirmed performance for January is down 1.85%. The Index is down 0.99% for 2008.
The Credit Suisse/Tremont Blue Chip Index is up an estimated 0.99% net for the month of February 2008. The confirmed performance for January is down 0.97%. The Index is up 0.01% for 2008.
Performance for the Credit Suisse/Tremont AllHedge Index and Blue Chip Index is calculated monthly. Returns for February, January and 2008 year-to-date are listed below and at www.hedgeindex.com
. The returns shown are net of a 0.07% calculation fee.
|Index||Feb 2008||Jan 2008||YTD 08|
|Credit Suisse/Tremont AllHedge Index||0.87%||-1.85%||-0.99%|
|Sector Invest Convertible Arbitrage||-3.11%||-0.84%||-3.92%|
|Sector Invest Dedicated Short Bias||0.20%||5.20%||5.41%|
|Sector Invest Emerging Markets||2.42%||-5.34%||-3.05%|
|Sector Invest Equity Market Neutral||0.12%||-1.32%||-1.19%|
|Sector Invest Event Driven||1.31%||-2.21%||-0.93%|
|Sector Invest Fixed Income Arbitrage||-1.16%||0.86%||-0.31%|
|Sector Invest Global Macro||1.64%||5.62%||7.35%|
|Sector Invest Long/Short Equity||0.48%||-5.28%||-4.83%|
|Sector Invest Managed Futures||5.35%||4.09%||9.66%|
|Sector Invest Multi-Strategy||-0.50%||-2.17%||-2.66%|
|Credit Suisse/Tremont Blue Chip Index||0.99%||-0.97%||0.01%|
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 734 billion in assets managed by 487 funds as of February 29, 2008.
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
Credit Suisse/Tremont 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.
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
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.
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 48,000 people. Credit Suisse's parent company, Credit Suisse Group, is a leading global financial services company headquartered 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.
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