NEW YORK (HedgeWorld.com)–The CSFB/Tremont Hedge Fund Index was up 1.28% for January, while major traditional benchmarks lost ground.
While the hedge fund index has gained 3.8% in the past 12 months, the Standard & Poor’s 500 stock index was down 23.02% for the same period, losing 2.62% in January.
“Managed futures funds continued to outperform all style-based sectors,” said Robert Schulman, co-chief executive officer of Tremont Advisers Inc., Rye, N.Y., * in a statement. The strategy pulled further ahead in January with a 6.07% gain and is now up more than 2.13% for the trailing 12 months.
Other top January performers were convertible arbitrage, up 3.02%, with a 6% 12-month return, and distressed securities, up 3.12% for the month and 0.81% for the past year. Global macro, which returned almost 14% in the 12-month frame, gained 2.03% in January, while dedicated short bias funds lost 2.73% for the month but were still up 13.76% for 12 months. Event-driven strategies as a group, including distressed, posted a positive return of 2.27% for January and 1.23% for the 12-month period.
“Markets remained jittery during January, responding to world news and uncertainty,” commented Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC, in a statement. “Despite the major sell-off we saw in equity-oriented long-only indices during the second half of January, hedge funds fared well, posting conservative, consistent returns for diversified investors.”
Mr. Schupp also announced the returns for the new CSFB/Tremont Multi-Strategy Index, which gained 1.47% in January and 7.9% for the past year. “Due to the increased diversity we have seen over the past few years, it became apparent that this new category was important for us to track,” he said. “These multi-strategy funds are characterized by their ability to dynamically allocate capital among different strategies.”
Fixed-income arbitrage went up 1.26% in January and 5.99% in 12 months. Equity market-neutral was up 0.31% for the month and 7.62% for the past year, but long/short equity lost 0.07% in January and 1.07% in 12 months. Emerging markets was another strategy that ran into trouble in the first month of the year, losing 0.45%, compared to a 4.01% gain for 12 months.
January NAV for the overall index is 251.68, giving a return of 151.68% in the 109-month period since inception, that is, from Jan.1, 1994 through Jan. 31, 2003.
The CSFB/Tremont Hedge Fund Index consisted of 417 funds as of Jan. 1, 2003, up from 402 in the previous month. Five funds were dropped due to liquidation: Ardsley Partners Fund I LP, Gryphon Hidden Values III Ltd., Mt. Everest Fund LP, Mt. Everest Fund Ltd., and Mt. Everest QP Fund LP. The D. E. Shaw Valence International Fund 2 was dropped as it was folded into other entities.
Twenty-two funds were added. These include Advent Convertible Arbitrage (Cayman) Fund, Quottro Fund Ltd., Growth Management Ltd., Henderson UK Equity Market Neutral Fund Ltd. (USD), GLC Gestalt Europe Fund Ltd., Milton Leveraged Arbitrage Fund Ltd, Harvest Capital LP, Clinton Global Fixed Income Fund, San Gabriel Opportunity Fund LLC, Spyglass Capital, Vega Select Opportunities Fund Ltd, AlphaGen Avior Fund Ltd (Class A), Futuris Fund, AlphaGen Cepheus Fund (Class B), AlphaGen Cepheus Fund (Class A), Bayou Fund LLC, Arcus Zensen Fund, OEI Mac Inc, AXA Futures, Systeia Futures USD Ltd., Systeia Futures Euro Ltd. and Alpine Associates LP. Two funds merged into one: Halcyon Arbitrage LP and Halcyon Restructuring Fund LP have merged to form Halcyon Fund LP.
The index is constructed using the TASS database of more than 2,600 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but excludes funds of funds. In order to qualify for inclusion in the index universe, a fund must have at least US$10 million under management, a 12-month track record, and an audited financial statement.
Funds are selected for the index using a formula based on assets under management. This ensures that the index always represents at least 85% of total assets in all strategy-based sectors. In order to minimize survivorship bias, funds that are in the index are not removed unless 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., a wholly owned subsidiary of Oppenheimer, is a part owner and strategic partner of HedgeWorld.