According to January statistics, Credit Suisse Long/Short Equity Replication Index (Net) Up was 0.18% in January and down 16.59% for 2008. Credit Suisse Inverse Long/Short Equity Replication Index (Net) was 0.52% down in January, and 16.70% up for 2008.
Performance for the AIR LOSHO Indices is calculated daily and shown net of a 1.15% per annum calculation fee. The table below indicates results for January 2009(first column), December 2008 (second column) and 2008 (third column).
Credit Suisse Long/Short Equity Replication Index (Net)
0.18%,2.98%,-6.59%
Credit Suisse Inverse Long/Short Equity Replication Index (Net) –
0.52%,-3.56%,16.70%
Credit Suisse/Tremont Long/Short Equity Hedge Fund IndexN/A, 1.06%, -19.76%
S&P 500 TRI Index*-8.43%, 1.06%, -37.00%
Dow Jones World Index*
-8.51%, 3.86%, -42.85%.
“With the S&P 500 down approximately 8% in January, hedge funds are still in a difficult market environment,” says Jordan Drachman, head of Research for Alternative Beta Strategies, Credit Suisse.
“Regardless, the AIR LOSHO Index was up 0.18% for the month, while early estimates for the Credit Suisse/Tremont Long/Short Equity Hedge Fund Index also point towards a modest positive return, indicating that managers as a group have significantly reduced their exposure to the markets.”
“Given the heightened focus on liquidity, we have seen an increased interest in liquid alternative strategies. With strong tracking relative to its benchmark, we believe that the AIR LOSHO Index will be a critical tool in the coming months as the market crisis continues to unfold.”
“For 2008, the AIR LOSHO Index was down 16.59%, while its benchmark was down 19.76%,” continues Jordan Drachman. “Conversely, the Inverse AIR LOSHO Index returned a positive 16.70% for 2008. A correlation of 89% between the two indices, during a particularly challenging year in 2008, provides us with confidence in the methodology used to construct the AIR LOSHO Index.
“The annualized volatility of the AIR LOSHO Index was 13.59% for 2008 which compared well to the 12.09% volatility of the Credit Suisse/Tremont Long/Short Equity Hedge Fund Index.”
L.D.