Credit Suisse/Tremont Hedge Fund Index confirms positive performance in November, up 2.11% for the month and 17.53% year-to-date
New York, December 15, 2009 Final performance for the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) is confirmed up 2.11% in November, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Mr. Schupp said, “The Credit Suisse/Tremont Hedge Fund Index finished up 2.11% for November, bringing year-to-date performance to 17.53. Managed Futures and Global Macro led the performance among sectors, returning 4.94% and 3.52% respectively in November. Gains were largely due to long equity and metal positions as well as due to bearish views on the U.S. Dollar.” Schupp added, “On the other hand, as equity markets rallied, Dedicated Short posted losses of 2.99% and was the only sector to finish the month in negative territory."
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. November, October and 2009 returns are listed below and are available at www.hedgeindex.com.
|Category||Nov 2009||Oct 2009||YTD 09|
|Credit Suisse/Tremont Hedge Fund Index||2.11%||0.13%||17.53%|
|Dedicated Short Bias||-2.99%||4.79%||-21.69%|
|Equity Market Neutral||0.08%||-0.35%||4.97%|
| Risk Arbitrage||1.03%||0.16%||11.57%|
|Fixed Income Arbitrage||1.71%||1.94%||26.45%|
The following funds are no longer reporting to the Broad Index: SSI Long/Short Equity Market Neutral and Weavering Macro Fixed Income Fund Ltd.
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
Credit Suisse AG
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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.