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April 08, 2009

Credit Suisse/Tremont Hedge Fund Index Estimated to Finish Up 0.86% In March

April 8, 2009 Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up 0.86% in March (based on 55% of assets reporting).

March started off with a challenging week for equity markets in which the S&P 500 reached a 12-year low and was down 57% from its October 2007 peak, helping erase $37 trillion of equity value globally according to Bloomberg. Positive news regarding January and February revenues from Citibank and other financial institutions sparked three-week 20%+ rallies in the S&P 500 and Dow Jones indices. These were accompanied by strong equity rallies worldwide, and were further stoked by positive revenue announcements from other major banks, as well as US Treasury Secretary Timothy Geithner’s proposal to buy toxic assets from financial institutions, and other upbeat indicators. Long/Short Equity managers had a wide dispersion in performance since many were defensively positioned going into the rally, and their overall performance of 2.3% was low relative to the equities’ returns, such as the 7.2% performance of the MSCI World Index. Not surprisingly, Dedicated Short Bias was down 4.9% for the month, after having two strong months in January and February. Multi-Strategy funds captured upside participation with a return of 1.6% for the month.

Bond markets were buoyed by quantitative easing announcements both in the UK on March 5, and in the US on March 18. The 10-Year US Treasury yield had a one-day change from 3.0% to 2.5%, but ended the month at 2.7% with the volume of several auctions of new issuances bringing yields back to half of their initial rally. The 10-Year Treasury, which had its all time low of 2.0% in December, has averaged 4.3% over the past five years. The Fixed Income Arbitrage strategy was a beneficiary, ending the month up over 2.6%.

Global Macro is expected to extend its winning streak to five consecutive positive months returning 0.5% in March. The strategy showed versatility by doing well in January and February when equities were significantly challenged, as well as in a month in which equities had a 20%+ rally. Many Global Macro managers had been in and out of curve steepeners over the past year; however, as a substantial flattening took place following the Federal Reserve’s quantitative easing announcement, some profited by making tactical shifts along the curve or taking long government bond biases.

Commodities indices were up despite a 5% correction in oil prices at the end of the month (oil is up 17% for 1Q 2009, however). Gold sold off as the equity rally brought optimism to the market and finished the month at $917 a Troy ounce. 

Strategy Estimates                                        

Index

Mar-09

Feb-09

YTD

CS/Tremont Hedge Fund Index

0.86%

-0.88%

1.06%

Convertible Arbitrage

-0.49%

0.75%

5.99%

Dedicated Short Bias

-4.88%

3.22%

1.80%

Emerging Markets

1.33%

-2.10%

-0.94%

Equity Market Neutral

2.58%

-5.61%

-2.07%

Event Driven

-0.14%

-1.13%

-0.49%

     Distressed

0.06%

-1.20%

-1.20%

     Event Driven Multi-Strategy

-0.29%

-1.12%

-0.10%

     Risk Arbitrage

0.99%

0.69%

2.07%

Fixed Income Arbitrage

2.63%

1.01%

4.17%

Global Macro

0.48%

0.21%

3.04%

Long/Short Equity

2.32%

-1.34%

0.77%

Managed Futures

-2.24%

-0.16%

-2.94%

Multi-Strategy

1.58%

-0.09%

4.89%

MSCI World

7.24%

-10.49%

-12.50%

Barclays Capital Aggregate Bond Index

2.30%

-2.23%

-3.25%

DJ AIG Total Return Commodities Index

3.60%

-4.43%

-6.31%


           

Estimates are based on 55% of assets reporting; final March performance will be published April 16th on Bloomberg and online at www.hedgeindex.com. For a complete description of the Credit Suisse/Tremont Hedge Fund Index, please see the index rules available at www.hedgeindex.com.

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.

 

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

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

Credit Suisse Hedge Fund Index Investor Relations, hfindices.ir@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 47,800 people. Credit Suisse is comprised of a number of legal entities around the world and is headquartered in Zurich. The registered shares (CSGN) of Credit Suisse's parent company, Credit Suisse Group AG, 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 a broad spectrum of investment classes, including alternative investments such as private equity, hedge funds, real estate and credit, as well as multi-asset class solutions, which include equities and fixed income products. 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.

 

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Copyright 2009, Credit Suisse Group AG and/or its affiliates. All rights reserved.

 

 

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This document was produced by and the opinions expressed are those of Credit Suisse as of the date of writing and are subject to change. It has been prepared solely for information purposes and for the use of the recipient. It does not constitute an offer or an invitation by or on behalf of Credit Suisse to any person to buy or sell any security. Any reference to past performance is not necessarily a guide to the future. The information and analysis contained in this publication have been compiled or arrived at from sources believed to be reliable but Credit Suisse does not make any representation as to their accuracy or completeness and does not accept liability for any loss arising from the use hereof.

 

 

 

 


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