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December 08, 2009

Early View: Credit Suisse/Tremont Hedge Fund Index Posts Estimated Positive Performance of +2.29% in November

New York, December 8, 2009.  Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up +2.29% in November (based on 71%of assets reporting).

Hedge funds regained momentum in November following October’s muted returns. A number of Global Macro quant funds had their best month of the year which helped make up some of their losses in the second and third quarters. Gains came mainly from long positions in equities and gold as well as from bullish views on US and UK bonds. The USD carry trade remained popular among Global Macro managers as the Reserve Bank of Australia raised its rates for the second month by 25 bps to 3.75%, while the US Federal Reserve is expected to keep rates near zero for some time. Trend followers in the Managed Futures sector were able to regain traction in November after a difficult October, while high frequency traders had mixed results, particularly in FX where volatility in a number of currencies created some sharp reversals. The trend followers generally profited from being long equities, commodities and short term bonds.

Event Driven was among the best performing strategies for the month, with performance contributors coming from profits being taken on distressed structured credit bonds that were bought on valuation plus cash flow bases earlier in the year, and long corporate exposures with a focus on idiosyncratic events. Many managers have been seeking to reduce risk by putting on more hedges, particularly on credit positions that have shown high correlations to equities.

Fixed Income Arbitrage funds had a fairly neutral month as many managers also continued reducing risk, and there were no major performance outliers on the positive or negative side. Several managers profited on the front end of the curve which came down (as did the back end), fueled by investors’ continued appetite for Treasuries. Because of buyer demand the $44 billion auction of two year notes on November 23 resulted in a 15% drop in the US government’s interest expense, the biggest decrease since 1989. In corporates, credit default swap (CDS) prices fell, showing continued improvement in investor perceptions of their credit quality with the exception of sovereign bonds where CDS spreads widened. This was particularly the case in the Middle East and certain European countries whose financial concerns had exposure to Dubai World’s debt following the latter’s November 25 request for a “standstill” on their debt.

Strategy Estimates                                        

Index

Nov-09

Oct-09

YTD

CS/Tremont Hedge Fund Index

2.29%

0.13%

17.76%

Convertible Arbitrage

0.96%

2.16%

44.37%

Dedicated Short Bias

-3.48%

4.79%

-22.08%

Emerging Markets

1.89%

0.90%

28.16%

Equity Market Neutral

0.20%

-0.35%

5.10%

Event Driven

1.90%

0.43%

17.40%

     Distressed

1.64%

0.71%

17.48%

     Event Driven Multi-Strategy

2.02%

0.21%

17.15%

     Risk Arbitrage

1.06%

0.16%

11.62%

Fixed Income Arbitrage

1.74%

1.94%

26.48%

Global Macro

3.93%

0.21%

13.60%

Long/Short Equity

2.38%

-1.21%

18.00%

Managed Futures

4.59%

-2.17%

-1.99%

Multi-Strategy

0.66%

1.12%

22.82%

MSCI World

3.87%

-1.85%

24.86%

Barclays Capital Aggregate Bond Index

2.55%

0.47%

11.11%

DJ-UBS Total Return Commodities Index

3.52%

3.28%

16.60%


           

Estimates are based on 71% of assets reporting; final November performance will be published December 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 AG

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 47,400 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.

Disclaimer

This document was produced by and the opinions expressed are those of Credit Suisse as of the date of writing and are subject to change. It has been prepared solely for information purposes and for the use of the recipient. It does not constitute an offer or an invitation by or on behalf of Credit Suisse to any person to buy or sell any security. Any reference to past performance is not necessarily a guide to the future. The information and analysis contained in this publication have been compiled or arrived at from sources believed to be reliable but Credit Suisse does not make any representation as to their accuracy or completeness and does not accept liability for any loss arising from the use hereof.

 

 Copyright © 2009, CREDIT SUISSE GROUP AG and/or its affiliates.  All rights reserved.

 

 

 

 


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