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July 15, 2010

Dow Jones Credit Suisse Hedge Fund Index Posts Negative June Returns, down 0.84% for the Month

New York, July 15, 2010 Final performance for the Dow Jones Credit Suisse Hedge Fund Index (“Broad Index”) is confirmed down 0.84% in June. Overall, performance was up 0.63% in the first half of 2010

Oliver Schupp, President of Credit Suisse Index Co., Inc., said, “The Dow Jones Credit Suisse  Hedge Fund Index fell 0.84% in June, with five out of ten sectors posting negative performance for the month. Among the top performers for the month were Dedicated Short Bias (+ 5.45%) and Fixed Income Arbitrage (+ 0.92%). Dedicated Short managers have capitalized on overall negative equity market performance while Fixed Income Arbitrage managers have generated returns by seizing various arbitrage opportunities amid higher market volatility.”     

Performance for the Broad Index and its ten sub-strategies is calculated monthly. June May, and year-to-date returns are listed below and are available at www.hedgeindex.com.

CategoryJun 2010May 2010YTD 10
Dow Jones Credit Suisse Hedge Fund Index-0.84%-2.76%0.63%
Convertible Arbitrage0.01%-2.51%2.65%
Dedicated Short Bias5.45%5.84%-2.77%
Emerging Markets-0.03%-4.28%-0.81%
Equity Market Neutral-0.99%-3.30%-4.55%
Event Driven-1.58%-3.07%1.84%
      Distressed-1.10%-2.50%2.98%
      Multi-Strategy-1.97%-3.53%0.97%
      Risk Arbitrage0.10%-1.52%-0.14%
Fixed Income Arbitrage0.92%-0.79%5.52%
Global Macro0.56%-0.63%4.20%
Long/Short Equity-2.07%-4.13%-3.22%
Managed Futures0.42%-4.03%0.26%
Multi-Strategy-0.81%-2.19%0.48%

No funds were added to the Broad Index in June.

 

The following fund is no longer reporting to the Broad Index: Analytic US Market Neutral.

The Broad Index is constructed using the Credit Suisse 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 Dow Jones Credit Suisse family of hedge fund indexes includes four separate indexes:

1.       The Dow Jones Credit Suisse Hedge Fund Index (formerly known as the Credit Suisse/Tremont Hedge Fund Index) is an asset-weighted benchmark that measures hedge fund performance and seeks to provide the most accurate representation of the hedge fund universe.

2.       The Dow Jones Credit Suisse AllHedge Index (formerly known as the Credit Suisse/Tremont AllHedge Index) is an investable index comprised of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes weighted according to the sector weights of the Broad Index.

3.       The Dow Jones Credit Suisse Blue Chip Hedge Fund Index (formerly known as the Credit Suisse/Tremont Investable Hedge Fund Index) is an investable index comprised of 60 of the largest funds across the ten style-based sectors in the Broad Index.

4.       The Dow Jones Credit Suisse LEA Hedge Fund Index (formerly known as the Credit Suisse/Tremont LEA Hedge Fund Index) is 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 and the Dow Jones Credit Suisse AllHedge Strategy Index Rules, Credit Suisse Hedge 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., Bennelong Asia Pacific Multi Strategy Equity Master Fund Ltd, BlueTrend Fund Ltd., Canyon Value Realization Fund (Cayman), Ltd., Castlerigg International Limited, Centaur Classic Convertible Arbitrage Fund Ltd., Compass Holdings Ltd., Contrarian Fund I Offshore Limited, 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, JANA Offshore Partners Ltd., Jayhawk China Fund (Cayman), Ltd., Longacre International Ltd, Owl Creek Overseas Fund Ltd, Plexus Fund Ltd., Ramius Multi-Strategy Fund Ltd., Seneca Capital International, Ltd., Shepherd Select Asset Ltd., Thales International Fund Ltd., and WGTC Ltd. 

 

Credit Suisse Contact Information

Meg Bode, Bode Associates, phone: +1-516-869-6610, meg@bodeassociates.com

Suzanne Fleming, Corporate Communications, Credit Suisse, phone +1-212-325-7396, suzanne.fleming@credit-suisse.com

Credit Suisse Hedge Fund Index Investor Relations, hfindices.ir@credit-suisse.com

 

About Dow Jones Indexes

Dow Jones Indexes (www.djindexes.com) is a leading full-service index provider that develops, maintains and licenses indexes for use as benchmarks and as the basis of investment products. Best-known for the Dow Jones Industrial Average, Dow Jones Indexes offers more than 130,000 equity indexes as well as fixed-income and alternative indexes, including measures of hedge funds, commodities and real estate. Dow Jones Indexes employs clear, unbiased and systematic methodologies that are fully integrated within index families. Dow Jones Indexes is the marketing name of CME Group Index Services LLC, a joint venture company which is owned 90 percent by CME Group Inc. (www.cmegroup.com) and 10 percent by Dow Jones & Company (www.dowjones.com), a News Corporation company (NASDAQ: NWS, NWSA; ASX: NWS, NWSLV; www.newscorp.com).

 

About Credit Suisse AG

Credit Suisse AG is one of the world's leading financial services providers and is part of the Credit Suisse group of companies (referred to here as 'Credit Suisse'). As an integrated bank, Credit Suisse offers clients its combined expertise in the areas of private banking, investment banking and asset management. Credit Suisse provides advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as to retail clients in Switzerland. Credit Suisse is headquartered in Zurich and operates in over 50 countries worldwide. The group employs approximately 47,600 people. 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 http://www.credit-suisse.com.

 

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.

 

Copyright © 2010, CREDIT SUISSE GROUP AG and/or its affiliates.  All rights reserved.

 

 

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.

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 or indicator 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.

 

“Dow Jones®”, “The Dow Jones Credit Suisse Hedge Fund Indexes” and “Dow Jones Indexes” are service marks of Dow Jones Trademark Holdings LLC (“Dow Jones”), and Credit Suisse Group AG, as the case may be, and have been licensed for use by Credit Suisse Index Co., Inc. and CME Group Index Services LLC (“CME Indexes”). Investment products based on the Dow Jones Credit Suisse Hedge Fund Indexes are not sponsored, endorsed, sold or promoted by Dow Jones, CME Indexes or their respective affiliates and none of Dow Jones, CME Indexes and their respective affiliates make any representation regarding the advisability of investing in such products.  Inclusion of a hedge fund in any of the Dow Jones Credit Suisse Hedge Fund Indexes does not in any way reflect an opinion of Dow Jones, CME Indexes or any of their respective affiliates on the investment merits of such fund. None of Dow Jones, CME Indexes or any of their respective affiliates is providing investment advice in connection with these indexes.


© 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.