Investing June 16, 2003

CSFB/Tremont Index Up 2.71% in May

June 16, 2003 (PLANSPONSOR.com) - The CSFB/Tremont Hedge Fund Index returned 2.71% in May, its largest monthly gain in over two years.
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The Index was buoyed most by strong returns in emerging market and managed future funds and has risen 7.05% since the start of 2003.   In April, the index was up 1.96%, according to data released by the CSFB/Tremont Index.

Leading May’s charge was managed futures, which was 5.14% higher for the month and 13% better since January.   This was followed by emerging market funds gaining 5.01% for the month after turning in a 3.89% gain in April. 

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Other gains for the month were seen in:

  • Long/Short Equity:  3.68%
  • Global Macro:   2.96%
  • Event Driven Multi Strategy:  2.37%
  • Event Driven:  2.35%
  •   2.27%
  • Convertible Arbitrage:  1.76%
  • Fixed Income Arbitrage:  1.28%
  • Equity Market Neutral:  1.22%

Conversely, short-selling funds, which borrow stocks hoping to buy them back later at a lower price, lost 5.45% in May, this month’s only losing strategy.   This marks a turnaround for these types of funds that ranked among the best performers when stocks were falling.

By comparison, a competing hedge fund index, the Van Global Hedge Fund Index, a competing index, posted a rise of 3.7% in May to bring the year-to-date average returns to 7.4% (See  Hedge Fund Index Up 3.7% in May ).   Further, while CSFB/Tremont’s returns are strong, they were not able to top the Standard & Poor’s 500 stock index, which rose 5.3% in May.

Performance for the CSFB/Tremont Hedge Fund Index is calculated monthly.  Full May and year-to-date returns for all categories are at    www.hedgeindex.com.

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