Investing February 17, 2004

CSFB: Hedge Fund, Investable Indices Start '04 Higher

February 17, 2004 (PLANSPONSOR.com) - CSFB/Tremont hedge fund indices both had positive returns in January, as the Hedge Fund Index closed the month 1.70% higher and the Investable Hedge Fund Index as up 1.10%.
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The Hedge Fund Index’s return was helped by solid return in Emerging Markets (2.53%) and Event Driven – Distressed (2.42%) components.   Other strong gainers were Event Driven (2.16%), Event Driven – Multi Strategy (2.01%) and Long/Short Equity (2.00%), according to data released by CSFB/Tremont.

Index components were nearly unanimously on the positive side, with January’s lone decline noted in the Dedicated Short Bias category, which was down 1.73% as US stock indices continued their upward rise.

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“Although many of the economic indicators during January delivered mixed signals to investors, hedge fund strategies performed fairly well across the board,” said Robert Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc, in a news release.

Performance for the CSFB/Tremont Hedge Fund Index and the 10 style-based sector indices is calculated monthly.  October, September and year-to-date returns for all categories are listed at   www.hedgeindex.com.

Investable Index

Similar to the composite index, leading the gainers in the Investable Index was Long/Short Equity, up 2.01%, Convertible Arbitrage 1.83% higher and Event Driven up 1.53% for January.   January was also slightly higher than the 1.07% return notched by the measure in December.  

Also a mirror image of the composite was January’s lone negative performance among the Investable index’s components, a negative 1.65% turned in by the Dedicated Short Bias component.   The remaining components were all positive, with gains of note including:

  • Fixed Income Arbitrage – 1.06%
  • Managed Futures – 0.96%
  • Equity Market Neutral – 0.79%.

The CSFB/Tremont Investable Hedge Fund Index is designed to give investors broad exposure to hedge funds as an asset class. At launch, on August 1, 2003, the aggregate assets under management for the 60 index constituents totaled approximately $55 billion (See  CSFB/Tremont Introduces New Hedge Index ).

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