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September 09, 2009

Early View: Credit Suisse/Tremont Hedge Fund Index Estimated to Finish Up +1.68% in August

New York, September 9, 2009.  Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up +1.68% in August (based on 54% of assets reporting).

It is estimated that hedge funds as represented by the Broad Index will finish up 1.68% for August, marking the sixth straight month of positive performance for the overall asset class. Managers saw a wide dispersion in returns across global equity markets last month with the Shanghai equity markets closing down over 20% and certain US and European markets peaking mid-month, reaching their highest levels since October 2008. Amidst the market volatility, managers with net short portfolios appeared to perform better in August than they have during previous months of the rally. In Japan, markets rose modestly following the country’s national election and Japan-focused Long/Short Equity hedge funds were up approximately +1% for the month on average, benefiting primarily from stock selection and outperformance by the small-cap sector of the equity markets. As a whole, Long/Short Equity managers had a generally positive month, finishing up an estimated 1.42%, while Emerging Markets returned an estimated 2.18%.

Event Driven managers returned approximately +2.46% for the month as managers continued to take advantage of tailwinds in equity and credit markets in the distressed environment. The majority of investment opportunities in the space currently appear to coming from the special situations area.

Managed Futures posted returns of 0.79%, representing their second positive month of performance so far this year (the sector was up +0.85% in May). Many managers in the strategy have struggled for most of this year, although trend followers appear to be beginning to show profits as models gain more traction. The Global Macro sector also experienced positive returns in August, posting a +0.94% gain as commodities-focused managers capitalized on rallies in metals, sugar and certain other softs.

Convertible Arbitrage extended its run of positive performance to eight consecutive months, finishing up 3.37% in August, as opportunities in the space remained strong. Performance was muted, however, in comparison to returns of the past four months, when the strategy posted consecutive monthly returns of greater than 4%.

The US Federal Reserve and US Treasury announced an extension of its $200 billion term asset-backed securities loan facility (TALF) program, adding an additional three to six months from its original end-of-year expiration date. This was welcome news to many fixed income investors and relative value managers who had an overall positive month. Fixed Income Arbitrage managers are now up 2.39% year to date.

Strategy Estimates                                        

Index

Aug-09

Jul-09

YTD

CS/Tremont Hedge Fund Index

1.68%

2.54%

11.74%

Convertible Arbitrage

3.37%

5.80%

35.57%

Dedicated Short Bias

-1.69%

-7.26%

-18.67%

Emerging Markets

1.51%

3.83%

19.32%

Equity Market Neutral

2.18%

1.79%

5.15%

Event Driven

2.46%

2.33%

11.81%

     Distressed

2.20%

2.25%

11.11%

     Event Driven Multi-Strategy

2.61%

2.41%

12.19%

     Risk Arbitrage

0.31%

1.12%

7.85%

Fixed Income Arbitrage

2.39%

3.65%

18.68%

Global Macro

0.94%

1.78%

6.22%

Long/Short Equity

1.42%

2.99%

13.02%

Managed Futures

0.79%

-0.43%

-7.10%

Multi-Strategy

1.88%

2.99%

17.83%

MSCI World

3.91%

 

8.37%

 

17.97%

 

Barclays Capital Aggregate Bond Index

1.76%

2.21%

5.59%

DJ-UBS Total Return Commodities Index

-0.58%

 

3.23%

 

7.37%

 


           

Estimates are based on 54% of assets reporting; final August performance will be published September 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 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.