Credit Suisse/Tremont Hedge Fund Index confirms July performance up 2.54%, year-to-date performance up 9.90%
New York, August 17, 2009 Final performance for the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) is confirmed up 2.54% in July, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Mr. Schupp said, “The last time hedge funds posted stronger year-to-date performance through July was 1998. The Credit Suisse/Tremont Hedge Fund Index is up 9.90% year to date and Convertible Arbitrage continues to lead all sectors in performance; the strategy returned 5.80% in July, bringing year-to-date performance to 31.14%. As companies continue to look to the convertible market as a preferred source of financing, many managers believe the opportunity set in the space should remain strong.” Schupp added, “Other notable sectors for the month include Emerging Markets, which finished up 3.83%, as an increase in foreign investment inflows and appreciating currencies helped bolster performance in the space.”
The Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) is the industry’s premier asset-weighted hedge fund index. Unlike equal-weighted indices, the Broad Index does not underweight top performers and overweight decliners to provide the most accurate representation of the hedge fund universe.
Performance for the Broad Index and its ten sub-strategies is calculated monthly. July, June and 2009 returns are listed below and are available at www.hedgeindex.com.
|Category||Jul 2009||Jun 2009||YTD 09|
|Credit Suisse/Tremont Hedge Fund Index||2.54%||0.43%||9.90%|
|Dedicated Short Bias||-7.26%||-1.96%||-17.28%|
|Equity Market Neutral||1.79%||-0.21%||2.91%|
| Risk Arbitrage||1.12%||0.89%||7.50%|
|Fixed Income Arbitrage||3.65%||1.83%||15.90%|
The following eight funds are no longer reporting to the Broad Index: MD Sass Re/Enterprise Fund, PM CAPITAL Absolute Performance Fund, Key Global Emerging Markets, Viking Global Equities, Zebedee European Fund, Little Wing, L.P., Relative Value Opportunity Portfolio LLC, and MKP Partners Fund.
The following five funds have been added to the Credit Suisse/Tremont Hedge Fund Index on July 1, 2009: AM Investment Fund – Volatility Arbitrage, Knighthead Master Fund, IRIS Balanced Cell, Seminole, and BlackRock Health Sciences Master Unit Trust.
The Broad Index is constructed using the Credit Suisse/Tremont database of more than 5,000 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but does not include fund of funds. In order to qualify for inclusion in the index selection universe, a fund must have a minimum of USD 50 million under management, a 12-month track record, and audited financial statements. Index funds are selected using a formula based on assets under management, which ensures that the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe. In order to minimize survivorship bias, funds are not excluded until they liquidate or fail to meet the reporting requirements. The Broad Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflows, including a reselection according to the procedure outlined above, on a quarterly basis.
The Credit Suisse/Tremont family of hedge fund indices includes four separate indices:
- The Credit Suisse/Tremont Hedge Fund Index (the “Broad Index”), an asset-weighted benchmark that measures hedge fund performance
- The AllHedge Index (“SECTAH”), an investable index comprised of all 10 Credit Suisse/Tremont Sector Invest indices weighted according to the sector weights of the Broad Index
- The Blue Chip Index (“INVX”), an investable index comprised of the 60 largest funds across the ten style-based sectors in the Broad Index; and
- The Specialty Indices, the first of which is the LEA Index, an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).
In accordance with the Blue Chip Index Rules (the “Index Rules”), and the Credit Suisse/Tremont Sector Invest Indices Rules (the “Sector Invest Rules”), Credit Suisse Tremont Index LLC is publishing the following notice:
The following funds are in a Special Rebalancing Situation: Akanthos Arbitrage Fund, Ltd., Alexandra Global Investment Fund I, Ltd., Amber Fund (Cayman) Ltd., Ardsley Offshore Fund, Ltd., Argent Classic Convertible Arbitrage Fund Ltd., Basso Investors Ltd., Bay Harbour Partners, Ltd. Canyon Value Realization Fund (Cayman), Ltd., Castlerigg International Limited, Compass Holdings Ltd., Context Offshore Advantage Fund, Ltd., Davidson Kempner International Ltd, Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd., Firebird Avrora Fund Ltd, First Quadrant Global Macro Fund Ltd, GLG European Long Short Fund Ltd, GLG Market Neutral Fund Ltd, Global Undervalued Securities Fund, Ltd., Gramercy Emerging Markets, Ltd., III Fund Ltd, Jayhawk China Fund (Cayman), Ltd., Lansdowne Macro Fund Ltd, Longacre International Ltd, Mariner Atlantic Ltd, NWI Explorer Global Fund Ltd., Owl Creek Overseas Fund Ltd, Permal Fixed Income Special Opportunities Ltd., Platinum Grove Contingent Capital Offshore Ltd., Plexus Fund Ltd., Ramius Multi-Strategy Fund Ltd., Seneca Capital International, Ltd., Shepherd Investments International Ltd, Temujin International Fund Ltd, WGTC Ltd and Zazove Offshore Hedged Convertible.
Additional features of the Credit Suisse/Tremont Index series include:
• Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters
• A broad suite of index-linked investment products through Credit Suisse
Credit Suisse Tremont Index LLC is the joint venture company of Credit Suisse Index Co., Inc., and Tremont Capital Management, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
Meg Bode, Bode Associates, telephone 516 869 6610, firstname.lastname@example.org
Suzanne Fleming, Corporate Communications, Credit Suisse, telephone 212 325 7396, email@example.com
Credit Suisse Hedge Fund Index Investor Relations, firstname.lastname@example.org
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