Credit Suisse/Tremont Hedge Fund Index Is Down, Returning -6.55% in September
Credit Suisse/Tremont AllHedge Index Down 7.91% Net in September
Credit Suisse/Tremont Blue Chip Index Down 7.80% Net in September
Credit Suisse/Tremont LEA Index Down 8.68% Net in September
New York, October 15, 2008 The Credit Suisse/Tremont Hedge Fund Index was down 6.55% in September, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Mr. Schupp said, “September was a difficult month for hedge funds across strategies, and the Credit Suisse/Tremont Hedge Fund Index will finish down 6.55% for the month.” Mr. Schupp went on to say “Convertible Arbitrage was the worst performing sector, finishing down 12.26%, while Managed Futures was down only slightly for the month, losing 0.57%. Managed Futures continues to be the best performing sector, and is currently up 6.70% year to date.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. September, August and 2008 year-to-date returns for all categories are listed below and are available at www.hedgeindex.com.
|Category||Sep 2008||Aug 2008||YTD 08|
|Credit Suisse/Tremont Hedge Fund Index||-6.55%||-1.47%||-9.87%|
|Dedicated Short Bias||-6.08%||-4.50%||3.40%|
|Equity Market Neutral||-1.41%||-0.59%||1.67%|
| Risk Arbitrage||-3.49%||-1.16%||-1.77%|
|Fixed Income Arbitrage||-6.80%||-0.70%||-11.57%|
The Credit Suisse/Tremont Hedge Fund Index value is 391.02, returning 291.02% for the 177-month period since inception (January 1, 1994 through September 30, 2008).
The Credit Suisse/Tremont Hedge Fund Index is comprised of 490 funds as of September 30, 2008. The following six funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Context/TQA Global Convertible Fund, Catalyst Strategic Event Fund, JLF Offshore Fund Limited, Optima The Platinum Fund Limited (incorporated into Platinum International Fund), Anak European Fund Ltd, Fortis Alpha Strategies Convertible Arbitrage.
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 USD 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, which ensures that 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 outflows, 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 was down an estimated 7.91% net for the month of September 2008. The confirmed performance for August is down -1.81%. The Index is down 13.88% for 2008.
The Credit Suisse/Tremont Blue Chip Index is down an estimated 7.80% net for the month of September 2008. The confirmed performance for August is down 1.63%. The Index is down 12.45% for 2008.
Performance for the Credit Suisse/Tremont AllHedge Index and Blue Chip Index is calculated monthly. Returns for September, August 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||Sep 2008||Aug 2008||YTD 08|
|Credit Suisse/Tremont AllHedge Index||-7.91%||-1.81%||-13.88%|
|Sector Invest Convertible Arbitrage||-12.93%||-0.83%||-24.66%|
|Sector Invest Dedicated Short Bias||-13.22%||-4.38%||-4.76%|
|Sector Invest Emerging Markets||-11.12%||-3.17%||-24.48%|
|Sector Invest Equity Market Neutral||-0.74%||-1.50%||-4.49%|
|Sector Invest Event Driven||-7.15%||-0.65%||-11.15%|
|Sector Invest Fixed Income Arbitrage||-8.26%||-1.54%||-10.59%|
|Sector Invest Global Macro||-8.65%||-4.57%||-9.18%|
|Sector Invest Long/Short Equity||-9.49%||-2.09%||-18.98%|
|Sector Invest Managed Futures||1.23%||-2.19%||5.97%|
|Sector Invest Multi-Strategy||-7.85%||-0.36%||-15.30%|
|Credit Suisse/Tremont Blue Chip Index||-7.80%||-1.63%||-12.45%|
As of September 30, 2008 the Value for the Convertible Arbitrage Sector Invest Index of the AllHedge Index will be reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules. The SAV takes into account the estimated value of underlying funds which have suspended redemptions or have temporarily stopped reporting performance to the Index. Consistent with Value reporting procedures, the SAV will be published as an estimated value and a confirmed value will be published according to the usual timetable for publication of the Index value. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.
As of September 30, 2008 the Value for the Blue Chip Index will be reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules. The SAV takes into account the estimated value of underlying funds which have suspended redemptions or have temporarily stopped reporting performance to the Index. Consistent with Value reporting procedures, the SAV will be published as an estimated value and a confirmed value will be published according to the usual timetable for publication of the Index value. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.
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. September and August returns are listed below and are available at www.hedgeindex.com. The returns shown are net of a 0.10% calculation fee.
|Index||Sep 2008||Aug 2008||YTD 08|
|Credit Suisse/Tremont LEA Index||-8.68%||-4.56%||N/A|
|Latin America ||-4.65%||-1.61%||N/A|
|Emerging Europe, Middle East and Africa||-19.06%||-10.71%||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 691 billion in assets managed by 490 funds as of September 30, 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:
The following funds are in a Special Rebalancing Situation: Akanthos Arbitrage Fund, Ltd., Argent Classic Convertible Arbitrage Fund Ltd., Amber Fund (Cayman) Ltd., Context Offshore Advantage Fund, Ltd., Compass Holdings Ltd., Temujin International Fund, Ltd., Plexus Fund Ltd., JANA Master Fund, Ltd., Platinum Grove Contingent Capital Offshore Fund Ltd. Implementation will follow the procedures outlined in the Index Rules.
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
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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 information contained in this document constitutes “Forward-Looking Statements” (including observations about markets and industry and regulatory trends as of the original date of this document), which can be identified by the use of forward-looking terminology such as “may”, “will”, “should”, “expect”, “anticipate”, “target”, “project”, “estimate”, “intend”, “continue” or “believe”, or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties beyond our control, actual events, results or performance may differ materially from those reflected or contemplated in such forward-looking statements. Readers are cautioned not to place undue reliance on such statements. Credit Suisse has no obligation to update any of the forward-looking statements in this document.Contact Information
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