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June 08, 2010

Early View: Credit Suisse/Tremont Hedge Fund Index Posts Estimated Negative Performance of -2.73% in May

June 8, 2010: Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index (“Broad Index”) will experience its first down month since February 2009, posting -2.73% in May (based on 78% of assets reporting).

 

Key highlights for the month:

        Estimates indicate that May marked the first month of negative returns for hedge funds since February 2009. The Credit Suisse/Tremont Hedge Fund Index lost an estimated 2.73% for the month. The index remains up 1.52% year-to-date. Despite overall losses, based on comparable indices hedge funds outperformed global equity markets, which finished down -9.91% for the month, as managers reduced portfolio exposures and risk levels in May.

        Event Driven funds lost an estimated 3.23% in May as equity-oriented managers declined with global equity markets. While distressed and merger arbitrage funds performed slightly better, market sell-offs and indiscriminate levels of correlation across asset classes made it difficult for managers to generate positive performance in May. 

        Global Macro returned -0.82% in May, outperforming most of the other sectors in the Index as managers benefited from the overall liquidity of their holdings and their tactical ability to reposition their portfolios in the midst of market volatility. Gains in the space were driven by short euro and equity trades.       

        Long/Short Equity funds struggled to find profitable positions amid the global equity market sell-offs in May and returned an estimated -4.08% for the month. Conversely, Dedicated Short Bias was the only strategy to lock in gains last month, finishing up an estimated 6.03%.

Strategy Estimates                                        

Index

May-10

Apr-10

2010

CS/Tremont Hedge Fund Index

-2.73%

1.24%

1.52%

Convertible Arbitrage

-3.40%

1.69%

1.70%

Dedicated Short Bias

6.03%

-3.89%

-7.63%

Emerging Markets

-3.65%

1.01%

-0.11%

Equity Market Neutral

-3.87%

0.43%

-4.15%

Event Driven

-3.23%

1.89%

3.30%

     Distressed

-2.63%

1.69%

3.98%

     Event Driven Multi-Strategy

-3.67%

2.09%

2.86%

     Risk Arbitrage

-2.37%

-0.10%

-1.11%

Fixed Income Arbitrage

-0.76%

1.75%

4.57%

Global Macro

-0.82%

1.65%

3.41%

Long/Short Equity

-4.08%

0.29%

-1.12%

Managed Futures

-4.42%

1.89%

-0.58%

Multi-Strategy

-2.14%

0.96%

1.35%

MSCI World

-9.91%

-0.16%

-7.59%

Barclays Capital Aggregate Bond Index

-1.56%

+0.02%

-1.82%

DJ-UBS Total Return Commodities Index

-6.92%

1.94%

-9.89%


           

Estimates are based on 78% of assets reporting; final May performance will be published June 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 Alternative Capital, 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

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In its Asset Management business, Credit Suisse offers products across a broad spectrum of investment classes, including hedge funds, credit, index, real estate, commodities and private equity products, 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 19 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.

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Important Legal Information

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 to future performance. 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.

Certain information contained in this document constitutes “Forward-Looking Statements” (including observations about markets and industry and regulatory trends as of the original date of this document), which can be identified by the use of forward-looking terminology such as “may”, “will”, “should”, “expect”, “anticipate”, “target”, “project”, “estimate”, “intend”, “continue” or “believe”, or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties beyond our control, actual events, results or performance may differ materially from those reflected or contemplated in such forward-looking statements. Readers are cautioned not to place undue reliance on such statements. Credit Suisse has no obligation to update any of the forward-looking statements in this document.

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