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October 23, 2009

Credit Suisse/Tremont Completes Semi-Annual Rebalancing of the AllHedge Index, the Blue Chip Index and the LEA Index

New York, October 22, 2009--The Credit Suisse Index Co., Inc announced that as of October 1, 2009, the Credit Suisse/Tremont AllHedge Index (“SECTAH”), the Credit Suisse/Tremont Blue Chip Index (“INVX”) and the Credit Suisse/Tremont Specialty Indices (“LEA”) completed their routine semi-annual rebalancing of funds. 

 

The Credit Suisse/Tremont family of hedge fund indices includes four separate indices:

 

  1. The Hedge Fund Index (the “Broad Index”), an asset-weighted benchmark that measures hedge fund performance;

 

  1. 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;

 

  1. The Blue Chip Index (“INVX”), an investable index comprised of the 60 largest funds across the ten style-based sectors in the broad index;

 

  1. 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).

 

The rebalancing for SECTAH resulted in the addition of 6 funds, the rebalancing for INVX resulted in the addition of 7 funds, and the rebalancing for LEA resulted in the addition of 8 funds. The indices are constructed on an objective, rules-based methodology, which includes the following criteria:

·         Funds for SECTAH and INVX are selected from the Broad Index

·         Funds for SECTAH generally represent the largest eligible funds in each of the ten sectors weighted according to the sector weights of the Broad Index

·         Funds for INVX generally represent the six largest eligible open funds in each of the ten sectors

·         Funds for LEA generally represent the largest eligible funds in each of the three regions in the LEA investable index universe

·         Funds are determined by application of construction rules

 

 

 

The funds that were added in SECTAH include: Aristeia International Limited Fund, Contrarian Fund I Offshore Ltd., CQS Convertible and Quantitative Strategies Feeder Fund, FX Concepts (SAC) Ltd. GCP Fund, Halcyon Offshore Fund Limited, LYZ Global Offshore Fund Ltd. As of October 1, SECTAH is comprised of 92 constituent hedge funds.

 

The funds that were added in INVX include: Analytic US Market Neutral Offshore Ltd, Aristea International Limited Fund, CQS Convertible and Quantitative Strategies Feeder Fund Limited, Everest Capital Emerging Markets Ltd., Graham Global Investment Fund (Disc Portfolio), Nisswa Fund Ltd. and O’Connor Global Multi-Strategy Alpha Ltd. Fund. As of October 1, INVX is comprised of 60 constituent hedge funds.

 

The funds that were added in LEA include: BBM Gauss Fund, Henderson Asia Pacific Absolute Return Fund, Hermitage Fund, Maua Brasil Fund, MQ Asia Long Short Fund, OCCO Eastern Europe Fund, Renaissance Africa Fund and UFG Russia Select Fund Ltd. As of October 1, LEA is comprised of 33 constituent hedge funds.

 

The new constituent funds were added as of October 1, 2009.

 

After the rebalancing, the sector weightings for SECTAH are as follows:

 

 

Sector Weights

At April 1, 2009 Rebalancing

Sector Weights

At October 1, 2009 Rebalancing

Convertible Arbitrage

1.91%

1.63%

Dedicated Short

0.68%

0.52%

Emerging Markets

7.28%

7.55%

Equity Market Neutral

6.03%

1.67%

Event Driven

27.35%

25.95%

Fixed Income Arbitrage

3.79%

3.51%

Global Macro

14.87%

16.90%

Long/Short Equity

23.63%

22.93%

Managed Futures

3.95%

4.10%

Multi-Strategy

10.51%

15.24%

 

After the rebalancing, the sector weightings for INVX are as follows:

 

 

Sector Weights

At April 1, 2009 Rebalancing

Sector Weights

At October 1, 2009 Rebalancing

Convertible Arbitrage

5.60%

3.00%

Dedicated Short

0.82%

1.03%

Emerging Markets

3.79%

9.39%

Equity Market Neutral

3.12%

2.54%

Event Driven

25.71%

21.00%

Fixed Income Arbitrage

6.34%

1.73%

Global Macro

17.76%

18.76%

Long/Short Equity

7.42%

17.39%

Managed Futures

4.70%

12.23%

Multi-Strategy

24.73%

12.93%

 

After the rebalancing, the regional breakdown for LEA is as follows:

 

 

Sector Weights

At April 1, 2009 Rebalancing

Sector Weights

At October 1, 2009 Rebalancing

Asia

40.00%

40.00%

EEMEA

20.00%

22.06%

Latin America

40.00%

37.94%

 

Contact Information

Credit Suisse Hedge Fund Index Investor Relations, hfindices.ir@credit-suisse.com

Meg Bode, Bode Associates, telephone 516 869 6610, meg@bodeassociates.com

Suzanne Fleming, Corporate Communications, Credit Suisse, telephone 212 325 7396, suzanne.fleming@credit-suisse.com

 

Credit Suisse

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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.

 

 

 

 


© 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.