Credit Suisse/Tremont Hedge Fund Index Confirms November performance down 4.15%
New York, December 15, 2008 Final Performance for the Credit Suisse/Tremont Hedge Fund Index is down 4.15% in November, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Mr. Schupp said, “Continued elevated levels of volatility remain a key factor affecting the overall industry and has forced hedge fund managers to de-lever further and reduce risk along with the financial community as a whole.” Schupp went on to explain “The unexpected events around Kingate Global/Fairfield Sentry have had material effects on the performance of the Equity Market Neutral sector, and therefore have also impacted the Broad Benchmark Index. Considering the information we now have concerning Kingate Global/Fairfield Sentry, assets under management for the funds have been marked down to zero for November to reflect the news received last week.” Schupp also added “Relatively unstable market conditions benefited the Dedicated Short Bias sector. Managed Futures funds were also able to capitalize on market trends.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. November, October and 2008 year-to-date returns for all categories are listed below and are available at www.hedgeindex.com.
|Category||Nov 2008||Oct 2008||YTD 08|
|Credit Suisse/Tremont Hedge Fund Index||-4.15%||-6.30%||-19.04%|
|Dedicated Short Bias||3.04%||9.66%||16.83%|
|Equity Market Neutral||-40.45%||-1.83%||-40.56%|
| Risk Arbitrage||-0.02%||-3.06%||-4.79%|
|Fixed Income Arbitrage||-5.60%||-14.04%||-28.24%|
The following seven funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Lazard Global Opportunities Fund, Cambridge Energy, Arcas International Hub Fund Ltd, Coast Enhanced Income Fund II Ltd., Sabre Partners, Jolly Roger Fund, Leveraged Short Equity Index Hedge Hub 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 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:
- The Hedge Fund Index (the “Broad Index”), an asset-weighted benchmark that measures hedge fund performance
- 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
- 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
- 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).
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., Amber Fund (Cayman) Ltd., Arcas International Fund, Ltd. (Covered Interest), Argent Classic Convertible Arbitrage Fund Ltd., Arpeggio Fund, Basso Investors Ltd., Compass Holdings Ltd., Context Offshore Advantage Fund, Ltd., Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd., Elm Ridge Value Partners Offshore Fund Inc, Firebird Avrora Fund Ltd, GLG European Long Short Fund Ltd, GLG Market Neutral Fund Ltd, Gramercy Emerging Markets, Ltd., Henderson Global Fixed Income Absolute Return Ltd, Kingate Global Fund Ltd., Mangart Global Fund Ltd., NWI Explorer Global Fund Ltd., Permal Fixed Income Special Opportunities Ltd., Platinum Grove Contingent Capital Offshore Ltd., Plexus Fund Ltd., Temujin International Fund Ltd.
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., and Tremont Capital Management, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
Credit Suisse Hedge Fund Index Investor Relations, telephone +1 212 538 0583, firstname.lastname@example.org
Meg Bode, Bode Associates, telephone 516 869 6610, email@example.com
Duncan King, Corporate Communications, Credit Suisse, telephone 212 325 2590, firstname.lastname@example.org
Tamsin Chance, Corporate Communications, Credit Suisse, telephone 212 325 1863, email@example.com
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