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August 15, 2008

Credit Suisse/Tremont Hedge Fund Index Is Down, Returning -2.61% in July

Credit Suisse/Tremont AllHedge Index Down 2.68% Net in July
Credit Suisse/Tremont Blue Chip Index Down 2.34% Net in July
Credit Suisse/Tremont LEA Index Down 4.20% Net in July

New York, August 15, 2008 The Credit Suisse/Tremont Hedge Fund Index was down in July, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.

Mr. Schupp said, “We estimate the Credit Suisse/Tremont Hedge Fund Index will finish down 2.61% for July. While the largest losses occurred in the Managed Futures sector, down 4.20%, Dedicated Short managers were well positioned to profit from equity market downturns and gained 2.98% for the month.” Schupp added, “Despite July’s negative performance, hedge funds historically outperform the broader equity markets in periods of downturn, and we expect that they will continue to weather the current market conditions successfully.”

Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. July, June and 2008 year-to-date returns for all categories are listed below and are available at www.hedgeindex.com

CategoryJul 2008Jun 2008YTD 08
Credit Suisse/Tremont Hedge Fund Index-2.61%0.00%-2.11%
Convertible Arbitrage-2.14%-0.36%-7.59%
Dedicated Short Bias2.98%9.02%15.28%
Emerging Markets-2.84%-1.59%-6.29%
Equity Market Neutral-0.06%0.55%3.73%
Event Driven-2.53%-0.15%-3.63%
      Distressed-2.59%-0.51%-3.92%
      Multi-Strategy-2.53%0.09%-3.53%
      Risk Arbitrage-0.39%-0.12%2.98%
Fixed Income Arbitrage-0.37%-0.47%-4.46%
Global Macro-2.64%2.00%6.34%
Long/Short Equity-3.43%-1.33%-3.89%
Managed Futures-4.20%4.79%10.03%
Multi-Strategy-2.47%0.05%-4.49%

The Credit Suisse/Tremont Hedge Fund Index value is 424.68 returning 324.68% for the 175-month period since inception (January 1, 1994 through July 31, 2008).

The Credit Suisse/Tremont Hedge Fund Index is comprised of 499 funds as of July 31, 2008.  The following five funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Highland Master Fund, Systeia Equity Quant Fund, Systeia Futures Fund, Odey Japan & General Inc, Systeia Event Driven Fund.

The following 23 funds have been added to the Credit Suisse/Tremont Hedge Fund Index on July 1, 2008: Leveraged Short Equity Index Hedge Hub Ltd., Wolverine Convertible Arbitrage Fund Trading Ltd., Element Capital Master Fund Ltd., Weavering Macro Fixed Income Fund Ltd, AlphaGen RhoCas Fund, ARX Brazil Fund SPC - Long Short Class, Pantera Global Macro Fund, Sark Master Fund Limited, BlackRock Eurasian Frontiers Fund Limited, BlackRock Small-Cap Energy Hedge Fund, UFG Russia Select Fund, BAM Opportunity Fund, Torrey Pines Fund, Helios Strategic Fund, Artradis Barracuda Fund., BlackRock Agriculture Fund, Quantek Opportunity Fund, AlphaGen Crucis Fund Limited, GLG Alpha Select Fund, Traxis Fund LP, Moon Capital Global Equity Fund, Wegelin (GUE) Equity Active Indexing Market Neutral Fund, Waterloo Fully Invested 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 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 2.68% net for the month of July 2008.  The confirmed performance for June is down 1.49%. The Index is down 4.51% for 2008.

The Credit Suisse/Tremont Blue Chip Index is down an estimated 2.34% net for the month of July 2008.  The confirmed performance for June is down 1.08%. The Index is down 3.23% for 2008.

Performance for the Credit Suisse/Tremont AllHedge Index and Blue Chip Index is calculated monthly. Returns for July, June and 2008 year-to-date are listed below and at www.hedgeindex.com. The returns shown are net of a 0.07% calculation fee.

IndexJul 2008Jun 2008YTD 08
Credit Suisse/Tremont AllHedge Index-2.68%-1.49%-4.51%
Sector Invest Convertible Arbitrage-2.40%-1.02%-12.88%
Sector Invest Dedicated Short Bias4.29%8.50%14.86%
Sector Invest Emerging Markets-3.59%-3.15%-11.82%
Sector Invest Equity Market Neutral0.02%0.44%-2.13%
Sector Invest Event Driven-3.34%-0.95%-3.45%
Sector Invest Fixed Income Arbitrage-0.18%-0.99%-0.33%
Sector Invest Global Macro-3.48%2.01%3.99%
Sector Invest Long/Short Equity-2.49%-4.07%-8.20%
Sector Invest Managed Futures-4.49%4.11%7.05%
Sector Invest Multi-Strategy-2.44%-1.13%-7.54%
Credit Suisse/Tremont Blue Chip Index-2.34%-1.08%-3.23%

The LEA Index officially launched on April 1, 2008. Performance for the Credit Suisse/Tremont LEA Index and its three sub-strategies is calculated monthly. July and June returns are listed below and are available at www.hedgeindex.com.  The returns shown are net of a 0.10% calculation fee.

IndexJuly 2008June 20082008
Credit Suisse/Tremont LEA Index-4.20%-3.55%N/A
Latin America -1.46%-0.87%N/A
Emerging Europe, Middle East and Africa-10.88%-3.71%N/A
Asia-2.62%-5.98%N/A

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 October 1, 2007 and currently has 138 funds. 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 on August 1, 2003 and currently has 60 funds. 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 756 billion in assets managed by 499 funds as of July 31, 2008.

The Credit Suisse/Tremont LEA Index was launched on April 1, 2008 and currently has 42 funds.  The funds currently included in the index are available on the website at www.hedgeindex.com. The Credit Suisse/Tremont LEA Index aims to capture the high growth potential of the emerging economies of Latin America, EEMEA (Eastern Europe, Middle East and Africa), and Asia with a diversified portfolio of hedge funds from the three regions.

In accordance with the Credit Suisse/Tremont Investable Hedge Fund Index (“Blue Chip Index”) Rules (the “Index Rules”), and the Credit Suisse/Tremont Sector Invest Indices Rules (the “Sector Invest Rules”), Credit Suisse Tremont Index LLC is publishing the following notice:

Amber Fund (Cayman) Ltd. identified a special pool of assets for all investors redeeming on June 30, 2008.  Approximately 70% of the proceeds for these redemptions were paid in cash, and the remainder was paid in kind, by allocating to redeeming investors an asset representing a pro-rata financial interest in the special pool of assets, until cash can be realized.  This has resulted in a Special Rebalancing Situation.  Implementation of the Special Rebalancing will follow the procedures outlined in the Index Rules and the Sector Invest Rules.  This fund is a member of the Credit Suisse/Tremont Investable Hedge Fund Index (“Blue Chip Index”) and the Credit Suisse/Tremont Sector Invest Event Driven Index.

Context Offshore Advantage Fund, Ltd. imposed a 25% gate on investor redemptions on March 18, 2008.  This affected the index weight of the fund for the April 1, 2008 rebalancing date, and has resulted in a Special Rebalancing Situation.  Implementation will follow the procedures outlined in the Sector Invest Rules.  This fund is a member of the Credit Suisse/Tremont Sector Invest Convertible Arbitrage Index.

For Plexus Fund Ltd. changes have been implemented to the Offering Memorandum, whereby a lock up would apply from and include the May 1, 2008 Dealing Day through to, but not including, the October 1, 2008 Dealing Day. It is the manager’s intention to resume normal redemption procedures on October 1, 2008.  This has resulted in a Special Rebalancing Situation.  Implementation will follow the procedures outlined in the Index Rules and the Sector Invest Rules.  This fund is a member of the Credit Suisse/Tremont Investable Hedge Fund Index (“Blue Chip Index”) and the Credit Suisse/Tremont Sector Invest Convertible Arbitrage Index.

Systeia Equity Quant Fund suspended subscriptions for April 1, 2008.  The future of the fund became uncertain after Credit Agricole Group acquired 100% of the management company in February.  This has resulted in a Special Rebalancing Situation.  The fund was a new addition to the Credit Suisse/Tremont Sector Invest Equity Market Neutral Index for April 1, 2008, and in accordance with Sector Invest Rules, the fund allocation will be represented by cash until the next rebalancing on October 1, 2008.

Lispenard Street Credit Fund, Ltd. suspended subscriptions for April 1, 2008.  This has resulted in a Special Rebalancing Situation.  The fund was a new addition to the Credit Suisse/Tremont Sector Invest Event Driven Index for April 1, 2008.  The fund allocation will be represented by cash until the next rebalancing on October 1, 2008, unless a replacement fund can be found per the Contingent Fund Replacement procedure of the Sector Invest Rules.

Tamarack International, Ltd. began liquidating in March 2008, and the fund made a final distribution to shareholders on June 1, 2008.  This has resulted in a Special Rebalancing Situation.  In accordance with the Sector Invest Rules, the fund allocation will be fully represented by cash from the final liquidation date through the next rebalancing on October 1, 2008.  This fund is a member of the Credit Suisse/Tremont Sector Invest Event Driven Index.

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.

Credit Suisse
As one of the world's leading banks, Credit Suisse provides its clients with private banking, investment 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 49,000 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.

Asset Management
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 private equity, real estate, hedge funds, 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 23 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.

Contact Information
Credit Suisse Hedge Fund Index Investor Relations, telephone +1 212 538 0583, hfindices.ir@credit-suisse.com
Meg Bode, Bode Associates, telephone 516 869 6610, meg@bodeassociates.com
Suzanne Fleming, Corporate Communications, Credit Suisse, telephone 212 325 7396, suzanne.fleming@credit-suisse.com

 


© 1999-2014 Credit Suisse Hedge Index LLC. All rights reserved.Credit Suisse Hedge Fund Index was formerly known as Dow Jones Credit Suisse Hedge Fund Index from June 22, 2010 to September 15, 2013. Credit Suisse AllHedge Index was formerly known as Dow Jones Credit Suisse AllHedge Index from June 22, 2010 to September 15, 2013. Credit Suisse Blue Chip Hedge Fund Index was formerly known as Dow Jones Credit Suisse Blue Chip Hedge Fund Index from June 22, 2010 to September 15, 2013.