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January 17, 2003 at 07:00 PM
NEW YORK (HedgeWorld.com)–The CSFB/Tremont* Hedge Fund Index gained 1.07% in December, finishing the year up 3.04%. Managed Futures was the big winner among the nine strategies, with a 5.50% return for December and an impressive 18.33% for 2002, a year when almost all other major indices were down.
“This was a banner year for managed futures,” commented Robert I. Schulman, co-chief executive officer of Tremont Advisers, in a statement. He added that it was the second best year ever for the managed futures index, after 1998.
Dedicated short bias was the runner up, returning 4.13% in December and 18.14% for the year. Other strong performers were global macro, 0.85% in December and 14.66% for the year; equity market-neutral, 0.82% in December and 7.42% for the year; and fixed-income arbitrage, 1.32% in December and 5.75% for the year. Convertible arbitrage made 1.66% in December and returned 4.05% for 2002, while emerging markets lost 0.53% in December but were up 7.36% for the year.
Long/short equity ended 2002 in the red, returning 0.76% in December but losing 1.60% for the year and pulling down the overall index. The event driven sector was almost flat at 0.16% for the year, but there was significant variation among the three recently launched sub-indexes. Risk arbitrage was down 3.46% and distressed lost 0.69%, but multi-strategy event driven funds returned positive 6.3%.
The CSFB/Tremont Hedge Fund Index has returned 148.5% since its inception, that is, for the 108-month period from Jan. 1, 1994 through Dec. 31, 2002.
