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June 08, 2009

Credit Suisse/Tremont Hedge Fund Index Estimated to Finish Up 3.61% 
In May

New York, June 8, 2009.  Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up 3.61% in May (based on 62% of assets reporting).

Hedge fund managers posted positive returns across all major strategies in May except for Managed Futures, which were down 20 bps. Returns were driven by favorable investment conditions across equity, credit and commodities markets. India led the positive trend in Emerging Markets, with the Sensex index surging 17.3% within less than a minute of the announcement on May 18 that the Congress Party garnered a comfortable majority coalition in the general elections. Industrial production numbers were up in many parts of Asia, with factories in Japan raising output by the largest monthly margin in nearly 60 years, and the Purchasing Manager’s Index (PMI) in China expanding for a third month to a seasonally adjusted 53.1 (a reading above 50 indicates an expansion). Some managers remained cautious, however, with the view that a switch from a government-led recovery to a consumer-led recovery may face hurdles such as the continuing rise of unemployment in many parts of the world, rising savings rates (particularly in the US), overhangs in vacant housing, as well as assorted weak macro data in Europe.

With spreads tightening and returns strong across the credit spectrum, relative value players such as Convertible Arbitrage and Fixed Income Arbitrage were among the best performers. With a 19.4% year-to-date performance, Convertible Arbitrage outperformed the next best strategy by 6.9%, and there was nearly US$6 billion in new Convertible bonds issuances in the US for the month. With fixed income markets apparently unfazed by the General Motors bankruptcy, investment grade financials had the strongest performance, but investment grade industrials, utilities and high yield also had a solid month, as did leveraged loans. The Treasury yield curve, meanwhile, hit a record steepness on May 27 with the spread between 2-Yr and 10-Yr Treasuries widening to 276 bps (surpassed in early June with a 279 bps spread). Managers benefited from positions such as corporate negative basis trades (long bonds versus credit default swaps), long financials exposure, swap curve steepeners and long-dated municipal bonds.

Global Macro has continued to have the longest positive streak of all the strategies in the index for the 7th consecutive month, starting in November 2008. Managers found opportunities in currency trades, fixed income, commodities, as well as tactically trading equities. Managed Futures performance improved over April, but posted a fifth consecutive month of negative returns. Long/Short Equity Managers continued to have wide dispersions of returns, with some managers adding to their long exposures and tactically harvesting returns from the rallies, while others maintained their defensive positioning, citing an absence of fundamental drivers for a strong v-shaped recovery.

Strategy Estimates                                        





CS/Tremont Hedge Fund Index




Convertible Arbitrage




Dedicated Short Bias




Emerging Markets




Equity Market Neutral




Event Driven








     Event Driven Multi-Strategy




     Risk Arbitrage




Fixed Income Arbitrage




Global Macro




Long/Short Equity




Managed Futures








MSCI World




Barclays Capital Aggregate Bond Index




DJ-UBS Total Return Commodities Index





Estimates are based on 62% of assets reporting; final May performance will be published June 15th on Bloomberg and online at For a complete description of the Credit Suisse/Tremont Hedge Fund Index, please see the index rules available at

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,


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


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.


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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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.


This press release contains statements that constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act. In addition, in the future we, and others on our behalf, may make statements that constitute forward-looking statements. Such forward-looking statements may include, without limitation, statements relating to the following:

       our plans, objectives or goals;

       our future economic performance or prospects;

       the potential effect on our future performance of certain contingencies; and

       assumptions underlying any such statements.

Words such as “believes,” “anticipates,” “expects,” “intends” and “plans” and similar expressions are intended to identify forward-looking statements but are not the exclusive means of identifying such statements. We do not intend to update these forward-looking statements except as may be required by applicable securities laws. By their very nature, forward-looking statements involve inherent risks and uncertainties, both general and specific, and risks exist that predictions, forecasts, projections and other outcomes described or implied in forward-looking statements will not be achieved. We caution you that a number of important factors could cause results to differ materially from the plans, objectives, expectations, estimates and intentions expressed in such forward-looking statements. These factors include:

       the ability to maintain sufficient liquidity and access capital markets;

       market and interest rate fluctuations;

       the strength of the global economy in general and the strength of the economies of the countries in which we conduct our operations, in particular the risk of a continued US or global economic downturn in 2009 and beyond;

       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;

       the ability of counterparties to meet their obligations to us;

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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.





© 1999-2017 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.