The CSFB/Tremont Hedge Fund Index was down 0.15% for March 2005, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC and senior member of the CSFB Hedge Fund Investments group.
“The Dedicated Short sub-strategy reported the strongest return for the third month in a row, up 14.42% year-to-date, due to falling stock prices as the major US equity indices ended the month in negative territory,” he says. “Convertible Arbitrage managers generally reported losses in March due to the persistent selling in convertibles, which accelerated in the second half of the month.”
“The Event Driven sub strategy, which makes up over 20% of the broad Index, is up 2.38% year-to-date as equity and multi-strategy managers in this sector generally reported profits in March,” adds Robert I. Schulman, Chief Executive Officer of Tremont Capital Management, Inc. “Many trend-following Managed Futures managers were flat to negative for the month. Classic long-term trend followers generally faired worse than those with shorter-term, contrarian and fundamental factor models.”