Investing April 12, 2004

CSFB ReJuggles Hedge Index

April 12, 2004 (PLANSPONSOR.com) - CSFB Tremont Index LLC announced that its CSFB/Tremont Investable Hedge Fund Index has completed its first funds rebalancing.
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The initial six-month rebalance resulted in the addition of nine funds and the removal of seven funds.   The index is constructed on a rules-based methodology, which includes the following criteria:

  • f unds are selected from the CSFB/Tremont Hedge Fund Index by an asset-based formula
  • f he funds generally represent the six largest eligible “open” funds in each of the ten sectors
  • f he funds are determined by application of the construction rules.

The funds that were added include Maverick, Shepherd, III Fund, Mariner, York, Quadriga, Basso, Gramercy Emerging Markets, and Thai Focused.    The funds that were removed include Cerberus, Orbis Optimal, Concordia Capital, D.QUANT/Ramsey Futures, LIM Asia Arbitrage, OneWorld Sovereign Growth and Income, and Equalt Selection.   

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After the rebalancing, the weightings are (with the prior weightings):

  • Convertible Arbitrage 8.45% (11.04%)
  • Dedicated Short 1.39% (2.05%)
  • Emerging Markets 3.41% (3.37%)
  • Equity Market Neutral 7.69% (10.28%)
  • Event Driven 12.05% (16.84%)
  • Fixed Income Arbitrage 13.08% (12.23%)
  • Global Macro 14.94% (12.44%)
  • Long/Short Equity 16.24% (12.94%)
  • Managed Futures 10.75% (9.69%)
  • Multi-Strategy 12% (9.11%)

The company also announced that the products linked to the CSFB/Tremont Investable Hedge Fund Index have resulted in $1.3 billion in inflows through the sale of index-linked products.   The Investable Index now represents total assets in its member funds of $72 billion after the April 1, 2004 rebalance, the company said.

The funds currently included in the index are available at  www.hedgeindex.com .

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