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January 11, 2010

Early View: Credit Suisse/Tremont Hedge Fund Index Posts Estimated Positive Performance of 0.39% in December 2009

New York, Jan 11, 2010 Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up +0.39% in December 2009 (based on 62% of assets reporting).

 

Key highlights for the month;

        Hedge funds finished their best year of the decade with positive performance in December. Top performing sectors included Event Driven, Long/Short Equity, Emerging Markets and Convertible Arbitrage.

        Event Driven managers capitalized on their credit books as high yield and leveraged loan markets spreads tightened. Managers also seized opportunities in select idiosyncratic distressed situations.  

        Long/Short Equity and Emerging Markets experienced positive performance in the final month of the year with performance largely propelled by rallies in Japanese and certain European equity markets. Following early gains, many managers took risk off the books as markets slowed down in the second half of the month.

        A correction in gold and other precious metals resulted in losses in the Global Macro and Managed Futures sectors. Many macro managers were also adversely affected by the reversal in the U.S. Dollar. Quantitative funds experienced some of the steepest losses due to high levels of risk while discretionary managers had better performance as many pared back risk towards the end of the year.

        Convertible Arbitrage experienced its twelfth consecutive month of gains to end the year as best performer among hedge fund strategies as the U.S. convertible bond market had a record return of 49% in 2009[1]. New issuance was light aside from a $3.5 billion issue from Citibank. 

Strategy Estimates                                        

Index

Dec-09

Nov-09

2009

CS/Tremont Hedge Fund Index

0.39%

2.11%

18.01%

Convertible Arbitrage

2.08%

0.80%

47.14%

Dedicated Short Bias

-4.00%

-2.99%

-24.82%

Emerging Markets

2.18%

1.37%

30.29%

Equity Market Neutral

-1.66%

0.08%

3.23%

Event Driven

1.91%

2.16%

19.95%

     Distressed

1.99%

2.08%

20.34%

     Event Driven Multi-Strategy

1.87%

2.26%

19.62%

     Risk Arbitrage

1.23%

1.03%

12.96%

Fixed Income Arbitrage

1.39%

1.71%

28.20%

Global Macro

-2.07%

3.52%

10.81%

Long/Short Equity

2.01%

1.92%

19.83%

Managed Futures

-4.59%

4.94%

-6.18%

Multi-Strategy

0.34%

0.96%

23.60%

MSCI World

1.69%

3.87%

26.98%

Barclays Capital Aggregate Bond Index

-3.76%

2.55%

6.93%

DJ-UBS Total Return Commodities Index

1.98%

3.52%

18.91%


           

Estimates are based on 62% of assets reporting; final December performance will be published January 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.

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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.

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.

Disclosure

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 without obligation to update. 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 a guide, guarantee or indicator of future results. The information and analysis contained in this publication have been compiled or arrived at from third party sources believed to be reliable by Credit Suisse  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 © 2010, CREDIT SUISSE GROUP AG and/or its affiliates.  All rights reserved.



[1] Source: Merrill Lynch All US Convert Index (VXAO)

 

 

 

 


© 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.