Credit Suisse/Tremont Hedge Fund Index finishes relatively flat in October, up 0.13% for the month and 15.11% year-to-date
New York, November 16, 2009 Final performance for the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) is confirmed up 0.13% in October, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Mr. Schupp said, “The Credit Suisse/Tremont Hedge Fund Index finished relatively flat in October as a result of increased market volatility. The Broad Index gained 0.13% for the month, bringing year-to-date performance to 15.11%. Dedicated Short Bias led the performance among sectors, returning 4.79% in October, as managers took advantage of sell-offs in equity markets.” Schupp added, “Other notable sectors included Fixed Income Arbitrage and Convertible Arbitrage, which finished up 1.94% and 2.16% respectively for the month. On the other hand, Long/Short Equity was down 1.21% after three months of consecutive gains, primarily as a result of increased profit taking on select long holdings as the end of the year approaches."
The Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) is one of the industry’s premier asset-weighted hedge fund indices. Unlike equal-weighted indices, the Broad Index does not underweight top performers and overweight decliners in order to seek to provide the most accurate representation of the hedge fund universe.
Performance for the Broad Index and its ten sub-strategies is calculated monthly. October, September and 2009 returns are listed below and are available at www.hedgeindex.com.
|Category||Oct 2009||Sep 2009||YTD 09|
|Credit Suisse/Tremont Hedge Fund Index||0.13%||3.04%||15.11%|
|Dedicated Short Bias||4.79%||-5.27%||-19.27%|
|Equity Market Neutral||-0.35%||0.96%||4.89%|
| Risk Arbitrage||0.16%||1.60%||10.43%|
|Fixed Income Arbitrage||1.94%||2.77%||24.32%|
The following funds have been added to the Broad Index: Absolute Partners Fund, Apex Market Neutral Greater China Fund, BBM Gauss Fund, Claritas Macro, Highbridge Asia, Highbridge Multi-Strategy, Highbridge Statistical Opportunities, Ishin Fund, JGP –BRAX Fund, Kapstream Absolute Return Income Fund, Krom River Commodity Fund, Lazard Emerging Income Plus Ltd., Nisswa Fixed Income Fund, Optis Southern Africa Fund, Providence MBS Master Fund Ltd., S.A.C. Capital International Ltd., and Scopia Funds.
The following funds are no longer reporting to the Broad Index: Atticus Global Advisors Ltd., BlackRock Galaxite and Parmenides Master Fund L.P.
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: Alexandra Global Investment Fund I, Ltd., Amber Fund (Cayman) Ltd., Basso Investors Ltd., Canyon Value Realization Fund (Cayman), Ltd., Castlerigg International Limited, Centaur Classic Convertible Arbitrage Fund Ltd., Compass Holdings Ltd., Contrarian Fund I Offshore Limited, Davidson Kempner International Ltd, Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd. - SPV Assets, Firebird Avrora Fund Ltd, GLG European Long Short Fund Ltd, GLG Market Neutral Fund Ltd, Global GT Ltd., Gramercy Offshore Fund (SPV) SPC, Jayhawk China Fund (Cayman), Ltd., Longacre International Ltd, Mariner Atlantic Ltd, Nevsky Fund Ltd., NWI Explorer Global Fund Ltd., Owl Creek Overseas Fund Ltd, Permal Fixed Income Special Opportunities Ltd., Plexus Fund Ltd., Ramius Multi-Strategy Fund Ltd., Seneca Capital International, Ltd., Stark Select Asset Fund LLC, Temujin International Fund Ltd, and WGTC Ltd.
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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