Oliver Schupp, President of Credit Suisse Index Co., Inc. reported decrease in the Credit Suisse/Tremont Hedge Fund Index by 6.30% in October. The reason for it he sees primarily due to present difficult trading environment for hedge funds.
The review of the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies calculated monthly – October (1st percentage in the table), September (2nd) and 2008 year-to-date returns (3rd figures in the table):
Credit Suisse/Tremont Hedge Fund Index -6.30% -6.55%
-15.54%
Convertible Arbitrage
-12.59% -12.26%
-29.59%
Dedicated Short Bias
9.66% -6.08%
13.38%
Emerging Markets
-13.63% -8.93%
-29.24%
Equity Market Neutral
-1.83% -1.41%
-0.19%
Event Driven
-5.09% -5.75%
-13.92%
Distressed
-5.66% -5.18%
-14.11%
Event Driven Multi-Strategy
-4.77% -6.17%
-13.97%
Risk Arbitrage
-3.06% -3.49%
-4.77%
Fixed Income Arbitrage
-14.04% -6.80%
-23.99%
Global Macro
-5.13% -6.63%
-7.10%
Long/Short Equity
-7.13% -7.81%
-19.46%
Managed Futures
4.96% -0.57%
11.99%
Multi-Strategy
-6.94% -7.35%
-18.68%
S&P 500 TRI Index*
-16.79% -8.91%
-32.84%
Dow Jones World Index*
-19.96% -12.72
-40.95%
*Total Return Indices
Melchior Japan (Master) Fund Limited, Aspect European Equity Fund Ltd, Aviva Investors High Growth Shares Fund, KCM Biomedical L.P., Clinton Multistrategy Master Fund Ltd. are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index.
The following 21 funds were added to the Credit Suisse/Tremont Hedge Fund Index on 1 October, 2008: Aristeia, Waterstone Market Neutral Master Fund, Ltd, Vision Emerging Asset Backed Fund Four SPC, RP Explorer Master Fund, Finisterre Global Opportunity Fund, Everest Capital China Opportunity L.P., Paulson Credit Opportunities Fund, York European Opportunities Fund, York Select, LP, Credit Suisse Candlewood Special Situations Fund, One William Street Capital, Paulson Recovery Fund, Loeb Arbitrage Fund, Restoration Holdings Ltd., Aviva Investors Alternative Funds PCC G7 Fixed Income Fund, BlackRock UK Emerging Companies Fund, Criterion Partners, Tenax Financials Fund, Third Avenue Global Value Fund, LP, Quantitative Global Fund, SuttonBrook Capital Portfolio LP.
At the moment the Credit Suisse/Tremont Hedge Fund Index comprises both open and closed funds located in the U.S. and offshore, but does not include fund of funds. The construction of the Index was accomplished through the Credit Suisse/Tremont database of more than 5,000 hedge funds. The 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.
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 Credit Suisse/Tremont family of hedge fund indices includes four separate indices:
1. The 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).
The following funds are in a Special Rebalancing Situation: Akanthos Arbitrage Fund, Ltd., Argent Classic Convertible Arbitrage Fund Ltd., Amber Fund (Cayman) Ltd., Context Offshore Advantage Fund, Ltd., Compass Holdings Ltd., Temujin International Fund, Ltd., Plexus Fund Ltd., Platinum Grove Contingent Capital Offshore Fund Ltd., Mangart Global Fund Ltd, NWI Explorer Global Fund Ltd, Deephaven Market Neutral Fund Ltd, GLG Market Neutral Fund. Implementation will follow the procedures outlined in accordance with the Credit Suisse/Tremont Investable Hedge Fund Index (“Blue Chip Index”) Rules (the “Index Rules”), and the Credit Suisse/Tremont Sector Invest Indices Rules (the “Sector Invest Rules”).
Credit Suisse undertakes to provide transparency via www.hedgeindex.com and pages on Bloomberg and Reuters. The distribution of index-linked investment products is also available through Credit Suisse.
“Fund deleveraging continued to be a key theme in October, as volatility created a difficult trading environment for hedge funds,” says Oliver Schupp, president, Credit Suisse Index Co. “The Credit Suisse/Tremont Hedge Fund Index finished down just over 6% for the month. Negative performance was driven primarily by losses in the Emerging Markets and Fixed Income Arbitrage sectors. The Dedicated Short Bias sector continued to do well, up over 9% for October and over 13% year to date.”
L.D.