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Portfolio > Alternative Investments > Hedge Funds

CSFB/Tremont Index up 2002, Managed Futures Top Pe

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NEW YORK (–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.

The Database

A total of 402 funds were in the Index as of Dec. 1, 2002, down from 403 as of Nov. 1, 2002. One fund, BPI Global Opportunities Fund Inc, was dropped due to liquidation.

The Index is constructed using the TASS database of more than 2,600 funds. It includes both open and closed funds located in the United States and offshore, but not funds of funds. In order to be considered for inclusion, a fund must have at least US$10 million under management, a 12-month track record, and an audited financial statement.

Funds are selected using a formula based on assets under management that ensures the index always represents at least 85% of total assets in each of nine strategy-based sectors. In order to minimize survivorship bias, funds that are in the benchmark are not excluded until they liquidate or fail to meet financial reporting requirements. The index is calculated monthly and adjusted on a going-forward basis for capitalization and return. *Tremont Advisers Inc., Rye, N.Y, is a minority investor in, and strategic partner of, HedgeWorld.

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