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October 08, 2009

Early View: Credit Suisse/Tremont Hedge Fund Index Estimated to Finish Up +2.67% in September

New York, October 8, 2009 Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up +2.67% in September (based on 65% of assets reporting).

Long/Short Equity and Emerging Markets managers experienced another positive month driven by equity market gains in September. At the end of the best quarter since 1998 for the Dow Jones Index, which had a gain of nearly 15%, market sentiment was bolstered by several positive macro indicators, such as an increase in the Global Purchasing Managers’ Index (PMI) that signaled expanding manufacturing output and pointed to a continuing stabilization of global economic activity. Inflation continued its moderate downward trend in the U.S. and in the Organization for Economic Co-operation and Development (OECD) countries, while central banks overall maintained low interest rates in the face of a weak recovery. Many equity indices finished in positive territory, although there were some late market corrections following reports of worse-than-expected U.S. home sales.

A number of Global Macro quantitative managers had a positive month, driven by long currency trades in the Yen and Euro and decreased FX volatility. Yield curves did not move significantly and therefore front end positions had relatively little impact on performance.

Credit-oriented managers in the Fixed Income Arbitrage and Event Driven sectors had a positive month, with performance coming from mortgage-related bonds, corporate bonds (especially financials), swap spread trades (which have been normalization trades focusing on the narrowing in the spread between LIBOR rates vs. Treasuries) and opportunities in government bond auctions.

Managed Futures also had another positive month, giving the strategy its third positive month for the year, as many trend followers’ models gained traction. Equity Market Neutral managers were also up in September. The value factor contributed positively to performance while factors such as momentum detracted from performance.

Strategy Estimates                                        

Index

Sep-09

Aug-09

YTD

CS/Tremont Hedge Fund Index

2.67%

1.53%

14.56%

Convertible Arbitrage

3.33%

3.39%

40.11%

Dedicated Short Bias

-5.53%

-1.69%

-23.17%

Emerging Markets

4.48%

1.06%

24.11%

Equity Market Neutral

1.04%

1.31%

5.34%

Event Driven

2.04%

2.17%

13.77%

     Distressed

2.44%

2.12%

13.73%

     Event Driven Multi-Strategy

1.85%

2.23%

13.84%

     Risk Arbitrage

0.61%

0.95%

9.20%

Fixed Income Arbitrage

2.94%

2.38%

22.16%

Global Macro

2.71%

0.86%

9.02%

Long/Short Equity

3.35%

1.42%

16.80%

Managed Futures

3.23%

0.92%

-3.98%

Multi-Strategy

2.21%

1.43%

19.90%

MSCI World

3.81%

3.91%

22.47%

Barclays Capital Aggregate Bond Index

2.14%

1.76%

7.85%

DJ-UBS Total Return Commodities Index

1.57%

-0.58%

9.06%


           

Estimates are based on 65% of assets reporting; final September performance will be published October 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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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.

 

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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.

 

 

 

 


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