Credit Suisse/Tremont Hedge Fund Index confirms December performance down 0.03%. Hedge Funds finish down 19.07% in 2008.
New York, January 15, 2009 Final Performance for the Credit Suisse/Tremont Hedge Fund Index was down 0.03% in December, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Mr. Schupp said, “Despite a late month equity rally, hedge funds finished marginally down in December, losing 0.03% to bring overall hedge fund performance to -19.07% for 2008.” Schupp went on to say, “Managed Futures had another strong month, adding 2.37% to bring their performance to 18.33% for the year. Dedicated Short Bias funds also generated strong positive returns amidst extremely adverse conditions last year, finishing up 14.87% for 2008.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. December, November and 2008 returns for all categories are listed below and are available at www.hedgeindex.com.
|Category||Dec 2008||Nov 2008||YTD 08|
|Credit Suisse/Tremont Hedge Fund Index||-0.03%||-4.15%||-19.07%|
|Dedicated Short Bias||-1.68%||3.04%||14.87%|
|Equity Market Neutral||0.41%||-40.45%||-40.32%|
| Risk Arbitrage||1.60%||-0.02%||-3.27%|
|Fixed Income Arbitrage||-0.80%||-5.60%||-28.82%|
The following two funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Oracle Partners and Blue Sky Japan 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 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., Alexandra Global Investment Fund I, Ltd., Amber Fund (Cayman) Ltd., Arcas International Fund, Ltd. (Covered Interest), Argent Classic Convertible Arbitrage Fund Ltd., Arpeggio Fund, Basso Investors Ltd., Canyon Value Realization Fund (Cayman), Ltd., Castlerigg International Limited, Compass Holdings Ltd., Context Offshore Advantage Fund, Ltd., Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd., 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, Iceberg Fund Ltd, Jayhawk China Fund (Cayman), Ltd., Longacre International Ltd, Mangart Global Fund Ltd., Mariner Atlantic Ltd, NWI Explorer Global Fund Ltd., O'Connor Global Convertible Arbitrage Ltd, Permal Fixed Income Special Opportunities Ltd., Platinum Grove Contingent Capital Offshore Ltd., Plexus Fund Ltd., Ramius Multi-Strategy Fund Ltd. and 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
Suzanne Fleming, Corporate Communications, Credit Suisse, telephone 212 325 7396, firstname.lastname@example.org
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