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Final performance for the Credit Suisse/Tremont Hedge Fund Index ("Broad Index") is confirmed up 0.17% in January, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Mr. Schupp said, "The Credit Suisse/Tremont Hedge Fund Index finished January in slightly positive territory returning 0.17% for the month. Overall, fund managers largely escaped the downswings experienced by equity markets during January and the top performing sectors included Fixed Income Arbitrage (+2.02%) and Event Driven (+1.42%). Fixed Income Arbitrage managers found various profit generating opportunities amid the fall in risky assets while gains in the Event Driven space were largely driven by profitable credit positions and hedging strategies that mitigated equity losses. Meanwhile, Managed Futures managers posted the weakest performance this month, down 3.81%, as many trend followers suffered due to the reversal of longer-term market trends."
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. January 2010, December 2009 and year-end 2009 returns are listed below and are available at www.hedgeindex.com.
Index January December
2010 2009 2009
Broad Index 0.17% 0.88% 18.57%
Convertible Arbitrage 0.97% 2.22% 47.35%
Dedicated Short Bias 0.27% -4.26% -25.03%
Emerging Markets -0.76% 1.97% 30.03%
Equity Market Neutral 0.10% -0.87% 4.05%
Event Driven 1.42% 2.28% 20.38%
Distressed 2.02% 2.51% 20.95%
Event Driven Multi-Strategy 0.90% 2.13% 19.94%
Risk Arbitrage 0.40% 0.38% 12.00%
Fixed Income Arbitrage 2.02% 0.76% 27.41%
Global Macro 1.07% -1.43% 11.55%
Long/Short Equity -1.50% 1.69% 19.47%
Managed Futures -3.81% -5.00% -6.57%
Multi-Strategy 0.56% 1.18% 24.62%
S&P 500 TRI Index* -3.60% 1.93% 26.46%
Dow Jones World Index* -4.21% 2.23% 31.97%
*Total Return Indices
The following funds were added to the Broad Index: BlackRock R3 Fund, Boyer Allan Greater China Fund LP, CCP Quantitative Fund, Citadel Kensington Global Strategies Fund, Fiera North American Market Neutral Fund II, WCG Master Fund Ltd.
The following funds are no longer reporting to the Broad Index: New Castle Market Neutral Fund L.P., New Castle Partners LLC, Permal Media & Technology Ltd, Torrey Pines Fund, Trafelet Delta U.S. Partners, RP Explorer Master Fund.
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., Bennelong Asia Pacific Multi Strategy Equity Master 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, 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., New Castle Market Neutral Offshore 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., Shepherd Select Asset Ltd., 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.
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As one of the world's leading banks, Credit Suisse AG ("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.
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Disclaimer
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.
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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