Final performance for the Credit Suisse/Tremont Hedge Fund Index (Broad Index) is confirmed up 0.88% in December and 18.57% for the year, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.
Hedge funds added an additional 0.88% to overall performance in December, solidifying the best annual returns for the Credit Suisse/Tremont Hedge Fund Index in ten years, says Schupp. The Event Driven sector was the highest performer for the month, returning 2.28%, while Convertible Arbitrage and Emerging Markets were the strongest overall performers for the year, returning 47.35% and 30.03% respectively. Dedicated Short and Managed Futures funds continued to struggle, however the sectors were the only two to finish 2008 in positive territory and are now the only two sectors to finish 2009 in the red. In our annual year-end hedge fund review which is scheduled for publication next week, Credit Suisse/Tremont will provide our analysis of the factors which we believe shaped hedge fund performance in 2009 as well as our views on how the hedge fund landscape has changed over the past year.”
The Credit Suisse/Tremont Hedge Fund Index (Broad Index) is one of the industrys 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. December, November and 2009 returns are listed below and are available at www.hedgeindex.com.
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., 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., Stark Select Asset Fund LLC, 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
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