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July 09, 2009

Early View: Credit Suisse/Tremont Hedge Fund Index Estimated to Finish Up 0.48% In June

New York, July 9, 2009.  Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up 0.48% in June (based on 66% of assets reporting).

Following May’s strong performance of 4.06%, June appeared to be a consolidation month for hedge funds with returns of 0.48%, with credit-oriented managers generally outperforming directional, event driven and tactical strategies. While returns were limited for certain strategies, many were able to retain profits gained earlier this year.

Government activism in the markets continued in Europe, as the European Central Bank provided 442 billion Euros to financial institutions at a rate of 1%. Many believe this could provide opportunities for credit-oriented hedge fund managers and to facilitate carry trades. In the US, the Fed continued its zero interest rate policy (ZIRP) as global macro data continued to be mixed. Generally, credit spreads improved over the month, and Relative Value managers had positive performance overall. Convertible Arbitrage had its sixth straight month of positive performance and posted the best monthly performance of all the strategies in the Index with 4.0%, with some managers starting to profit from the volatility arbitrage aspect of the strategy as equity markets recovered from March lows. The strategy received more attention as a credit play earlier in the year, given the 4Q 08 devaluations many convertible bonds experienced.

Developed equity markets largely moved sideways for the month, although 2Q performance was the best since late 1998, with the S&P 500 gaining 15% for the quarter and Nasdaq gaining 20%. June’s sideways market movements allowed some of the defensively positioned Long/Short Equity managers to take profits on the month's market dips, as opposed to the previous three months, when equity rallies allowed high-beta managers to make large gains. Sideways markets can benefit certain managers since there is usually less correlation among sectors, providing increased opportunities for tactical moves.

Emerging Markets experienced a -650 bps swing in returns from May to June, with a wide dispersion of returns for both regional equity indices as well as for managers. Russia's Micex index was the notable outlier on the downside, dropping more than 20% from its 2009 peak, and became the first benchmark equity index to technically enter a bear market since global stocks began rallying in March. Nonetheless, the Micex was up 43% for the quarter, the Bombay Stock Exchange’s benchmark Sensitive Index (Sensex) was up 49% on the quarter, while Brazil’s Bovespa was down 3.3% in June, but up 26% for the quarter. Overall, the Emerging Markets sector finished June relatively flat.

In the Event Driven space, some managers gave back a portion of the profits they made in May, but many believe opportunities continue to develop as credit delinquencies rise. Some Event Driven managers are adding exposure to Risk Arbitrage anticipating several deals that may close in 3Q-4Q.

Strategy Estimates                                        

Index

June-09

May-09

YTD

CS/Tremont Hedge Fund Index

0.48%

4.06%

7.23%

Convertible Arbitrage

4.00%

5.81%

23.90%

Dedicated Short Bias

-2.06%

-0.55%

-10.89%

Emerging Markets

0.42%

6.96%

12.91%

Equity Market Neutral

-0.08%

3.63%

1.23%

Event Driven

1.27%

4.22%

6.91%

     Distressed

1.81%

4.15%

6.71%

     Event Driven Multi-Strategy

0.93%

4.31%

7.00%

     Risk Arbitrage

0.32%

1.85%

5.73%

Fixed Income Arbitrage

2.02%

4.33%

12.04%

Global Macro

-0.87%

1.47%

3.37%

Long/Short Equity

0.23%

5.23%

8.49%

Managed Futures

-2.28%

0.85%

-7.39%

Multi-Strategy

1.59%

4.28%

12.26%

MSCI World

-0.61%

8.62%

4.76%

Barclays Capital Aggregate Bond Index

0.41%

3.57%

1.52%

DJ-UBS Total Return Commodities Index

1.07%

13.00%

7.79%


           

Estimates are based on 66% of assets reporting; final June performance will be published July 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.

 

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© 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.