Early View: Credit Suisse/Tremont Hedge Fund Index Posts Estimated Positive Performance of 0.39% in December 2009

Jan 11, 2010, 10:46 ET from Credit Suisse AG

NEW YORK, Jan 11 /PRNewswire/ -- Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index ("Broad Index") will finish up +0.39% in December 2009 (based on 62% of assets reporting).

Key highlights for the month;

  • Hedge funds finished their best year of the decade with positive performance in December. Top performing sectors included Event Driven, Long/Short Equity, Emerging Markets and Convertible Arbitrage.
  • Event Driven managers capitalized on their credit books as high yield and leveraged loan markets spreads tightened. Managers also seized opportunities in select idiosyncratic distressed situations.
  • Long/Short Equity and Emerging Markets experienced positive performance in the final month of the year with performance largely propelled by rallies in Japanese and certain European equity markets. Following early gains, many managers took risk off the books as markets slowed down in the second half of the month.
  • A correction in gold and other precious metals resulted in losses in the Global Macro and Managed Futures sectors. Many macro managers were also adversely affected by the reversal in the U.S. Dollar. Quantitative funds experienced some of the steepest losses due to high levels of risk while discretionary managers had better performance as many pared back risk towards the end of the year.
  • Convertible Arbitrage experienced its twelfth consecutive month of gains to end the year as best performer among hedge fund strategies as the U.S. convertible bond market had a record return of 49% in 2009(1). New issuance was light aside from a $3.5 billion issue from Citibank.

Strategy Estimates

    Index                                  Dec-09        Nov-09       2009
    CS/Tremont Hedge Fund Index              0.39%         2.11%     18.01%
    Convertible Arbitrage                    2.08%         0.80%     47.14%
    Dedicated Short Bias                    -4.00%        -2.99%    -24.82%
    Emerging Markets                         2.18%         1.37%     30.29%
    Equity Market Neutral                   -1.66%         0.08%      3.23%
    Event Driven                             1.91%         2.16%     19.95%
         Distressed                          1.99%         2.08%     20.34%
         Event Driven Multi-Strategy         1.87%         2.26%     19.62%
         Risk Arbitrage                      1.23%         1.03%     12.96%
    Fixed Income Arbitrage                   1.39%         1.71%     28.20%
    Global Macro                            -2.07%         3.52%     10.81%
    Long/Short Equity                        2.01%         1.92%     19.83%
    Managed Futures                         -4.59%         4.94%     -6.18%
    Multi-Strategy                           0.34%         0.96%     23.60%
    MSCI World                               1.69%         3.87%     26.98%
    Barclays Capital Aggregate
     Bond Index                             -3.76%         2.55%      6.93%
    DJ-UBS Total Return
     Commodities Index                       1.98%         3.52%     18.91%
    -------------------                      ----          ----      -----

Estimates are based on 62% of assets reporting; final December performance will be published January 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 Co., Inc., and Tremont Group Holdings, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.

(1) Source: Merrill Lynch All US Convert Index (VXAO)

* All data was obtained from publicly available information, internally developed data and other third party sources believed to be reliable. Credit Suisse has not sought to independently verify information obtained from public and third party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information.

Contact Information

Meg Bode, Bode Associates, telephone 516 869 6610, meg@bodeassociates.com

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