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August 10, 2009

Early View: Credit Suisse/Tremont Hedge Fund Index Estimated to Finish Up +2.35% in July

New York, August 10, 2009.  Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up +2.35% in July (based on 62% of assets reporting).

July was a positive month for hedge funds, with Convertible Arbitrage and credit-oriented managers continuing to lead the Broad Index’s constituent strategies in performance. Convertible Arbitrage has extended its positive performance for seven consecutive months, finishing up 5.44% in July as managers continue to capitalize on tightening credit spreads and attractive valuations. With respect to the sustainability of recent levels of returns, many managers have expressed the view that, while there are still ample opportunities in the space, market momentum has slowed following the “snapback” in the first half of the year and, now, security selection has become more important.

Equity markets started the month with a bounce back from June’s correction following a number of better than expected early corporate earnings reports. Markets were further bolstered by government reports indicating improvements in housing and jobs data, as well as an announcement from the US Federal Reserve upgrading its GDP forecast mid-month. The improved forecast suggested that while GDP could contract 1.0-1.5% in 2009 (a figure lower than originally predicted), an improved growth rate of 2.1-2.3% is expected for 2010. Overall, equity markets made significant gains for the month with the Dow Jones World Index finishing up 8.6%. A number of Long/Short Equity managers have increased their overall net exposures, and while markets were volatile, most captured gains.

Positive economic data out of China and other emerging markets helped Emerging Markets managers post positive returns. The strategy is estimated to be up 2.26% in July and, based on manager feedback, investor interest in the space appears to be returning along with performance. Dedicated Short Bias managers, on the other hand, continue to struggle as markets rally. The strategy was down an estimated 8.32% in July and is down 18.22% for the year.

The Global Macro sector registered positive performance with successful tactical trades in credit, currencies, commodities and, to a lesser extent, equities. Overall, the strategy, which has been up for eight out of the last nine months, is estimated to be up 1.78% for July and up 5.23% year to date. In general, trend followers in Global Macro and Managed Futures struggled, while high frequency traders did well.

Strategy Estimates                                        

Index

July-09

June-09

YTD

CS/Tremont Hedge Fund Index

2.35%

0.43%

9.69%

Convertible Arbitrage

5.44%

4.05%

30.70%

Dedicated Short Bias

-8.32%

-1.96%

-18.22%

Emerging Markets

2.26%

0.69%

15.77%

Equity Market Neutral

2.18%

-0.21%

3.30%

Event Driven

2.82%

1.02%

9.65%

     Distressed

3.94%

1.44%

10.51%

     Event Driven Multi-Strategy

2.67%

0.71%

9.61%

     Risk Arbitrage

1.23%

0.89%

7.64%

Fixed Income Arbitrage

3.79%

1.83%

16.07%

Global Macro

1.78%

-0.85%

5.23%

Long/Short Equity

2.63%

-0.04%

11.05%

Managed Futures

-0.80%

-2.32%

-8.17%

Multi-Strategy

2.91%

1.62%

15.56%

MSCI World

8.37%

-0.61%

13.53%

Barclays Capital Aggregate Bond Index

2.21%

0.41%

3.77%

DJ-UBS Total Return Commodities Index

3.23%

-1.90%

8.00%


           

Estimates are based on 62% of assets reporting; final July performance will be published August 17th 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 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 21 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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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.

 

The investment views and market opinions/analyses expressed herein may not reflect those of Credit Suisse as a whole and different views may be expressed based on different investment styles, objectives, views or philosophies.  No part of this material may be reproduced or retransmitted in any manner without the prior written permission of Credit Suisse.

 

 Copyright © 2009, CREDIT SUISSE GROUP AG and/or its affiliates.  All rights reserved.

 

 

 

 


© 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.