March 23, 2005

Dedicated Short Bias Leads CSFB/Tremont in February

NEW YORK (HedgeWorld.com)--The CSFB/Tremont Hedge Fund Index showed a positive return of 1.43% for February, with the dedicated-short category leading all strategies with a return of 3.4%. It was the second straight strong month for short-biased managers, who turned in a 6.9% performance in January and who now stand at plus 10.59% year to date through Feb. 28.

The Standard & Poor's 500 stock index was up 2.1% for February, and the Dow Jones Industrial Index returned 2.92%, while the Nasdaq Composite US Index was down 0.52%. The MSCI World Index was up 3.21% for the month.

In the hedge fund realm, emerging markets managers also had a good February, posting a positive 3.35%, bringing them to 4.52% for 2005 through Feb. 28. They were "aided by strong emerging equity markets in addition to generally positive emerging markets bonds," said Oliver Schupp, president of Credit Suisse First Boston Tremont LLC, in a statement. "In terms of currencies, managers reported profits from trades involving long emerging markets currencies versus short G10 currencies."

With a return of 2.03%, long/short equity managers nearly tied the S&P 500 in February. Event-driven strategies overall posted a 1.59% return, with multi-strategy managers leading the way with 1.68% and risk arbitrage funds trailing, with a 0.46% return.

Convertible arbitrage was the lone strategy in the index in negative territory for February, with a minus 0.31% return, putting it at negative 1.1% for 2005 through Feb. 28. Fixed-income arbitrage posted a 0.91% return, while managed futures eked out 0.08%. Global macro managers fared better, turning in 1.4% for the month.

The CSFB/Tremont Hedge Fund Index is constructed using the Lipper TASS and CSFB/Tremont databases of more than 4,500 hedge funds and contains 389 funds as of Feb. 28. To be included, funds must have a minimum of US$10 million under management, a 12-month track record and audited financial statements. Once added, funds are not excluded until they are liquidated or fail to meet the reporting requirements, in order to minimize subscriber bias.

For February, one fund, Meditor European Hedge Fund (B) Limited was dropped, because it is no longer reporting.

Investable Index

CSFB/Tremont's Investable Fund Index was up 0.81% for February, on an estimated basis, following a confirmed January return of minus 0.17%.

The investable index is based on CSFB/Tremont's broad index and generally comprises the six largest funds that are open to investors and meet certain liquidity conditions in each of 10 style-based sectors.

Among the sectors, emerging markets managers had the best month, with a return of 4.21%. Following them was the long/short equity sector, at 1.95%, and dedicated short bias, at 1.71%. Rounding out the eight sectors in positive territory were global macro and event driven, both at 0.8%; multi-strategy, 0.74%; fixed-income arbitrage, 0.72%; and equity market neutral, barely in the black at 0.02%.

The two negative performers were convertible arbitrage, down 0.06%, and managed futures, down 1.13% and now at minus 6.97% for 2005 through Feb. 28.

Sector s

CSFB/Tremont also compiles Sector Invest Indices, based on 114 funds across 10 style-based sectors and representing US$135 billion in assets under management. They aim to provide objective benchmarks of style-based investment strategies.

For February, emerging markets had the best performance among the strategies, with a return of 4.02%, placing the sector at plus 4.75% for the year 2005 through Feb. 28. Next was dedicated short bias, at 2.11%, but it leads for 2005, with a 7.83% return.

Long/short equity turned in 1.8%; event driven, 1.14%; global macro, 0.88%; fixed-income arbitrage, 0.68%; and multi-strategy, 0.64%. Convertible arbitrage squeaked by with a 0.02% return, while managed futures was down 0.73%, bringing its year-to-date return through Feb. 28 to minus 6.40%.

Contact Bob Keane with questions or comments at: bkeane@investmentadvisor.com">.

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