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May 08, 2009

Credit Suisse/Tremont Hedge Fund Index Estimated to Finish Up 1.29% 
In April

New York, May 8, 2009  Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up 1.29% in April (based on 55% of assets reporting).

Difficult macro data such as the International Monetary Fund’s forecasts for $4 trillion in global write-downs over the next two years (two thirds in banks), along with reports of global GDP contractions of 6.3% in 4Q 2008 (and nearly as severe in 1Q 2009), did not dampen the optimism in global equity markets in April. Europe’s markets rose by a record 12.9%, a monthly record since the start of the FTSE Eurofirst 300 in 1997. Most stock markets worldwide had similar rallies, with particularly strong performance in the BRIC countries. Although a number of Long/Short Equity managers added to their long positions to seek to harvest the upside of the rallies, many managers maintained their beta exposures at a relatively low level and remained defensively positioned, resulting in lower returns relative to equity indices. The threat of a global influenza epidemic and the Chrysler bankruptcy did not appear to impede the rallies.

Convertible Arbitrage is extending its winning streak to four months with a strong 5.1% performance, as it continued its recovery from the severe devaluations in the last quarter of 2008. The strategy remains the top-performer in the Index year-to-date in 2009. Fixed Income Arbitrage is also looking to post a strong month at 2.8%, with the macro environment allowing for carry trades, which in 4Q 2008 were derailed as traditional relationships deteriorated. Volatility dropped for equity markets generally, but not for fixed income which, for example, saw European corporate credit spreads fall by approximately 50 basis points. Other relative value contributors were curve steepening biases, mortgage books, and swap normalization trades.

Global Macro had its first negative performance in six months, as quant managers struggled, while diversified managers posted marginally better performance. Overall, managers avoided directional risk and traded tactically in commodities, currencies (short Euro positions paid off), sovereign yield curves, and, to a lesser extent, equities. Hedge funds with exposures to commodities were positively impacted overall by improving commodity markets with cotton rising to its highest levels since October and crude oil rising for a third monthly gain. Copper rose by 9.7% for the month, resulting in four months of consecutive gains, in part due to demand in China driven by the country’s $586 billion stimulus program. On the other hand, Gold dropped as risk appetite for equities and other risky assets rose.

Strategy Estimates                                        

Index

Apr-09

Mar-09

YTD

CS/Tremont Hedge Fund Index

1.29%

0.65%

2.16%

Convertible Arbitrage

5.14%

1.14%

13.26%

Dedicated Short Bias

-10.15%

-5.47%

-9.10%

Emerging Markets

4.03%

2.24%

3.98%

Equity Market Neutral

1.99%

1.10%

-1.56%

Event Driven

1.37%

0.16%

1.18%

     Distressed

1.53%

0.12%

0.37%

     Event Driven Multi-Strategy

1.29%

0.16%

1.65%

     Risk Arbitrage

-0.38%

1.65%

2.35%

Fixed Income Arbitrage

2.81%

1.74%

6.17%

Global Macro

-0.21%

0.03%

2.36%

Long/Short Equity

2.45%

1.86%

2.77%

Managed Futures

-3.48%

-2.18%

-6.26%

Multi-Strategy

2.85%

0.38%

6.60%

MSCI World

10.90%

7.24%

-2.96%

Barclays Capital Aggregate Bond Index

0.90%

2.30%

-2.38%

DJ-UBS Total Return Commodities Index

0.73%

3.60%

-5.63%


           

Estimates are based on 55% of assets reporting; final April performance will be published May 15th 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.

 

Contact Information

Meg Bode, Bode Associates, telephone 516 869 6610, meg@bodeassociates.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 46,700 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 the full spectrum of investment classes, ranging from equities, fixed income and multi-asset class products, to alternative investments such as real estate, hedge funds, private equity 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.

 

All businesses of Credit Suisse are subject to distinct regulatory requirements; certain products and services may not be available in all jurisdictions or to all client types.

 

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Disclaimer

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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       market and interest rate fluctuations;

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       the direct and indirect impacts of continuing deterioration of subprime and other real estate markets;

       further adverse rating actions by credit rating agencies in respect of structured credit products or other credit-related exposures or of monoline insurers;

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       the effects of, and changes in, fiscal, monetary, trade and tax policies, and currency fluctuations;

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       the possibility of foreign exchange controls, expropriation, nationalization or confiscation of assets in countries in which we conduct our operations;

       operational factors such as systems failure, human error, or the failure to implement procedures properly;

       actions taken by regulators with respect to our business and practices in one or more of the countries in which we conduct our operations;

       the effects of changes in laws, regulations or accounting policies or practices;

       competition in geographic and business areas in which we conduct our operations;

       the ability to retain and recruit qualified personnel;

       the ability to maintain our reputation and promote our brand;

       the ability to increase market share and control expenses;

       technological changes;

       the timely development and acceptance of our new products and services and the perceived overall value of these products and services by users;

       acquisitions, including the ability to integrate acquired businesses successfully, and divestitures, including the ability to sell non-core assets;

       the adverse resolution of litigation and other contingencies;

       the ability to achieve our cost efficiency goals and other cost targets; and

       our success at managing the risks involved in the foregoing.

 

We caution you that the foregoing list of important factors is not exclusive. When evaluating forward-looking statements, you should carefully consider the foregoing factors and other uncertainties and events, as well as the information set forth in our Form 20-F Item 3 – Key Information – Risk Factors.

 

 

 

 


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