Credit Suisse/Tremont Hedge Fund Index Is Down 2.11% in March
Credit Suisse/Tremont AllHedge Index Down 2.59% Net in March
Credit Suisse/Tremont Blue Chip Index Down 2.62% Net in March
New York, April 15, 2008 The Credit Suisse/Tremont Hedge Fund Index was down 2.11% in March, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
"Global market indices continued to fall in March, during what proved to be one of the most volatile months in recent history. The U.S. Federal Reserve cut interest rates twice in just over one week in an effort to revitalize the weakening economy. The March 18th move lowered interest rates 75 basis points to 2.25 percent, resulting in the lowest U.S. rate since December of 2004. Although inflation concerns continue to rise with the possibility of further rate cuts, the U.S. Federal Reserve stated, ‘the Committee expects inflation to moderate in coming quarters, reflecting a projected leveling-out of energy and other commodity prices and an easing of pressures on resource utilization.’ Investors continue to watch how tightening credit conditions and continued downturns in the housing market will affect growth over the next few months. As these trends continue into the second quarter, we estimate that eight out of ten hedge fund sectors will end March on a negative note," said Mr. Schupp.
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. March, February and 2008 year-to-date returns for all categories are listed below and are available at www.hedgeindex.com.
|Category||Mar 2008||Feb 2008||YTD 08|
|Credit Suisse/Tremont Hedge Fund Index||-2.11%||1.61%||-2.01%|
|Dedicated Short Bias||4.86%||-0.89%||9.83%|
|Equity Market Neutral||0.01%||1.07%||1.78%|
| Risk Arbitrage||1.62%||1.26%||2.80%|
|Fixed Income Arbitrage||-6.43%||-0.66%||-6.78%|
The Credit Suisse/Tremont Hedge Fund Index value is 425.10 returning 325.10% for the 171-month period since inception (January 1, 1994 through March 31, 2008).
The Credit Suisse/Tremont Hedge Fund Index is comprised of 482 funds as of March 31, 2008. The following funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Balboa Fund, NewSmith UK Hedge Master Fund Ltd, AXA Futures, Thales Holdings, Ltd, and Fursa Master Global Event Driven Fund LP.
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 four 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;
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; and
4. The Specialty Indices, the first of which is the LEA Index, an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).
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 2.59% net for the month of March 2008. The confirmed performance for February is up 0.87%. The Index is down 3.55% for 2008.
The Credit Suisse/Tremont Blue Chip Index is down an estimated 2.62% net for the month of March 2008. The confirmed performance for February is up 1.07%. The Index is down 2.54% for 2008.
Performance for the Credit Suisse/Tremont AllHedge Index and Blue Chip Index is calculated monthly. Returns for March, February 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||Mar 2008||Feb 2008||YTD 08|
|Credit Suisse/Tremont AllHedge Index||-2.59%||0.87%||-3.55%|
|Sector Invest Convertible Arbitrage||-8.07%||-3.44%||-11.97%|
|Sector Invest Dedicated Short Bias||4.23%||-0.40%||9.21%|
|Sector Invest Emerging Markets||-4.27%||1.61%||-7.93%|
|Sector Invest Equity Market Neutral||-1.18%||0.40%||-2.09%|
|Sector Invest Event Driven||-1.64%||1.35%||-2.51%|
|Sector Invest Fixed Income Arbitrage||-3.87%||-0.29%||-3.33%|
|Sector Invest Global Macro||-3.45%||1.65%||3.66%|
|Sector Invest Long/Short Equity||-2.69%||0.82%||-7.07%|
|Sector Invest Managed Futures||-0.27%||5.37%||9.39%|
|Sector Invest Multi-Strategy||-2.37%||-1.56%||-5.98%|
|Credit Suisse/Tremont Blue Chip Index||-2.62%||1.07%||-2.54%|
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 719 billion in assets managed by 482 funds as of March 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
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.
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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