NEW YORK (HedgeWorld.com)--The first rebalancing of the CSFB/Tremont* Investable Hedge Fund Index since its Aug. 1, 2003, launch has been completed, according to officials.
The rebalancing resulted in adding nine funds and dropping seven. To date the only other changes to the index have been the dropping of Clinton Group's Trinity Fund and Multi-Strategy Fund, which were at the center of a pricing scandal involving accusations from a former Clinton Group trader (see ).
Added to the investable index as of April 1 were: Maverick, Shepherd, III Fund, Mariner, York, Quadriga, Basso, Gramercy Emerging Markets and Thai Focused. Removed from the 60-fund list were Cerberus, Orbis Optimal, Concordia Capital, D.QUANT/Ramsey Futures, LIM Asia Arbitrage, OneWorld Sovereign Growth and Income and Equalt Selection.
Officials said that the implementation of the rebalancing was in accordance with the index construction rules. Those rules require that funds are selected from the CSFB/Tremont Hedge Fund Index by an asset-based formula and that funds represent the six largest eligible "open" funds in each of the 10 strategies.
The investable index has had US$1.3 billion in inflows through the sale of index-linked products since its launch last August. The combined member funds of the index now have US$72 billion in assets under management.
As a result of the rebalancing, the sector weights of the index changed slightly. The most notable changes were in the areas of convertible arbitrage, event driven and long/short equity.
Convertible arbitrage now represents 8.45% of the index, which is down from its 11.04% sector weighting on Aug. 1. The weighting to event-driven managers decreased as well to 12.05% from 16.84%. Meanwhile long/short equity strategies saw their weighting increase to 16.24% from 12.94%.
*Tremont Capital Management Inc., Rye, N.Y., is a strategic partner of and a minority investor in HedgeWorld.