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December 15, 2008

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[1] 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.  

CategoryNov 2008Oct 2008YTD 08
Credit Suisse/Tremont Hedge Fund Index-4.15%-6.30%-19.04%
Convertible Arbitrage-1.88%-12.59%-30.92%
Dedicated Short Bias3.04%9.66%16.83%
Emerging Markets-1.87%-13.63%-30.56%
Equity Market Neutral-40.45%-1.83%-40.56%
Event Driven-3.21%-5.09%-16.69%
      Distressed-5.00%-5.66%-18.41%
      Multi-Strategy-2.17%-4.77%-15.83%
      Risk Arbitrage-0.02%-3.06%-4.79%
Fixed Income Arbitrage-5.60%-14.04%-28.24%
Global Macro1.54%-5.13%-5.67%
Long/Short Equity-1.41%-7.13%-20.60%
Managed Futures3.22%4.96%15.59%
Multi-Strategy-4.63%-6.94%-22.45%


[1] Kingate Global Fund Ltd., Fairfield Sentry Ltd. and Rye Select Broad Market Portfolio Ltd. are individual funds whose returns are reported as a composite named “Kingate Global/Fairfield Sentry” in the Credit Suisse/Tremont Hedge Fund Index.

 

 

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:

 

  1. The Hedge Fund Index (the “Broad Index”), an asset-weighted benchmark that measures hedge fund performance

 

  1. 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

 

  1. 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

 

  1. 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.

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

Duncan King, Corporate Communications, Credit Suisse, telephone 212 325 2590, duncan.king@credit-suisse.com

Tamsin Chance, Corporate Communications, Credit Suisse, telephone 212 325 1863, tamsin.chance@credit-suisse.com

 

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.

 

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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.

 

 

 

 


© 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.