Credit Suisse/Tremont Hedge Fund Index Holds Steady in January, Up 0.17% for the First Month of 2010

NEW YORK, Feb. 16 /PRNewswire-FirstCall/ -- 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.

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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:

1. The Credit Suisse/Tremont Hedge Fund Index (the "Broad Index"), an asset-weighted benchmark that measures hedge fund performance
2. 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
3. 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
4. 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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