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.
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“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.