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February Returns Are Tepid, According to CSFB/Trem

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NEW YORK (–Hedge funds returned 0.68% in February, while year-to-date returns through February came to 1.96%, according to the CSFB/Tremont Hedge Fund Index.*

Giving a boost to February’s returns were managed futures funds, which returned 6.43% in the month and returned 12.89% the first two months of the year, according to CSFB/Tremont. At the same time, the Standard & Poor’s 500 stock index fell 1.5% in February and was down 4.1% year-to-date, on a total return basis. For the same two periods, the MSCI EAFE US$ Index lost 2.29% and 6.36%, a CSFB/Tremont statement said. And the MSCI Sovereign Debt Index returned 1.4% in February and 2.9% year-to-date through February, according to MSCI.

Global macro funds in the index also performed well, with a return of 1.87% in February and 3.94% in the year-to-date period. Convertible arbitrage funds returned 1.39% in February and were up a strong 4.45% year-to-date through February.

Emerging markets funds returned 1.02% in February and are barely positive at 0.57% year-to-date. Fixed-income arbitrage funds returned 0.99% in February and 2.27% year-to-date.

Event-driven funds returned 0.63% and 2.91%, in the same respective periods. The event-driven category is further divided into distressed, risk arbitrage and multi-strategy. The respective returns for those categories: distressed, 0.89% and 4.04%, respectively; risk arbitrage, negative 0.71% and negative 1.1%, respectively; and multi-strategy, 0.63% and 2.62%, respectively. Multi-strategy funds, a recently added category for the index, returned 0.11% in February and 1.58% in January and February.

Equity market neutral funds returned negative 0.06% in February but are still above water year-to-date with a return of 0.25%. Long/short equity was the penultimate category in February with a return of negative 0.21%. Year-to-date, long/short equity lost 0.28%. Surprisingly, even though equity markets fell during the month, short-biased funds reported a down month of negative 1.73%, and the category is down 4.41% during the year.

No funds were added or removed from the index for calculations in February, though last month, CSFB/Tremont erroneously reported that Ardsley Partners Fund I LP was dropped from the Index due to liquidation. The change actually was made because the fund was folded into another fund.

*Tremont Advisers Inc., Rye, N.Y., is a strategic partner of, and a minority investor in, HedgeWorld.

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