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February 08, 2010

Early View: Credit Suisse/Tremont Hedge Fund Index Posts Estimated Positive Performance of 0.17% in January

February 8, 2010: Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will finish up +0.17% in January (based on 74% of assets reporting).

 

Key highlights for the month;

        Long/Short Equity funds outperformed major equity markets in January, finishing down an estimated 1.70% as managers’ lower net exposures protected them from the full brunt of the market correction. Many managers would have finished in positive territory were it not for long positions in Technology stocks which, despite good fundamentals, fell in January on fears over the economic recovery. In general, equity markets reacted negatively to news of the Greek budget deficit and the concomitant drop of Greek bond prices as well as the Chinese central bank’s credit tightening over concerns of overheating in their housing market.

        Event Driven managers had a generally positive month as a number of managers took advantage of inefficient pricing in smaller issue securities resulting from specific restructuring events as well as banks in Japan and Europe lightening their books. Credit markets generally performed well and were negatively correlated to equity markets, benefiting a number of credit-oriented managers. 

        Global Macro managers experienced mixed performance with a number of fundamentally-driven quant macro models posting positive returns after capitalizing on tactical moves in currencies and bonds. On the other hand, managers with heavy equity exposures typically underperformed.

        Managed Futures posted the worst performance among the sectors as trend followers fell prey to increased pressure in commodities markets. The DJ-UBS Commodities Index finished down 7.28% for the month, crude oil fell over 8%, and gold was down 1.47% partly as a result of the strengthening US dollar.

Strategy Estimates                                        

Index

Jan-10

Dec-09

2009

CS/Tremont Hedge Fund Index

0.17%

0.88%

18.57%

Convertible Arbitrage

1.06%

2.22%

47.35%

Dedicated Short Bias

1.84%

-4.26%

-25.03%

Emerging Markets

-1.24%

1.97%

30.03%

Equity Market Neutral

0.13%

-0.87%

4.05%

Event Driven

1.39%

2.28%

20.38%

     Distressed

2.02%

2.51%

20.95%

     Event Driven Multi-Strategy

0.94%

2.13%

19.94%

     Risk Arbitrage

0.45%

0.38%

12.00%

Fixed Income Arbitrage

2.46%

0.76%

27.41%

Global Macro

1.11%

-1.43%

11.55%

Long/Short Equity

-1.70%

1.69%

19.47%

Managed Futures

-3.91%

-5.00%

-6.57%

Multi-Strategy

0.88%

1.18%

24.62%

MSCI World

-4.19%

1.69%

26.98%

Barclays Capital Aggregate Bond Index

0.41%

-3.76%

6.93%

DJ-UBS Total Return Commodities Index

-7.28%

1.98%

18.91%


           

Estimates are based on 74% of assets reporting; final January performance will be published February 16th 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 is not a research report. It does not constitute an offer to buy or sell securities 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.

 

 

 

 


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