NEW YORK, June 15 /PRNewswire-FirstCall/ -- Final performance for the Credit Suisse/Tremont Hedge Fund Index ("Broad Index") is confirmed down 2.76% in May, its largest drop since November 2008
Oliver Schupp, President of Credit Suisse Index Co., Inc., said, "The Credit/Suisse Tremont Hedge Fund Index fell 2.76% in May, with nine out of ten sectors posting negative performance for the month. Although the industry was negatively impacted by the market sell-offs, hedge funds outperformed equity market indices such as the S&P 500 and MSCI World which fell 7.99% and 9.77% respectively in May. Dedicated Short Bias was the only sector to generate positive performance, gaining 5.84% for the month as managers benefited from negative equity market performance and overall higher volatility. Moreover, Global Macro and Fixed Income Arbitrage managers were largely able to limit their losses finishing the month down 0.63% and 0.79% respectively."
Performance for the Broad Index and its ten sub-strategies is calculated monthly. May, April and year-to-date returns are listed below and are available at www.hedgeindex.com.
Dedicated Short Bias
Equity Market Neutral
Event Driven Multi-Strategy
Fixed Income Arbitrage
S&P 500 TRI Index*
Dow Jones World Index*
*Total Return Indices
No funds were added to the Broad Index in May.
The following funds are no longer reporting to the Broad Index: ADM Galleus Fund, Tiedemann Japan QP LP/Ltd Portfolio, Waterloo Fully Invested Fund Ltd., Waterloo, LCM Global Interest Rate Hedge Fund Limited.
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, 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.
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 headquartered at 11 Madison Avenue, New York, NY 10010-3629.
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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.
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