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Portfolio > Alternative Investments > Hedge Funds

CSFB/Tremont Index Up 1.96% in April

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NEW YORK (–April was a good month for emerging markets managers and for hedge funds on the whole in the CSFB/Tremont* Hedge Fund Index, which was up 1.96% last month.

The best performing strategy for the time period was emerging markets. The emerging markets sub-index finished up 3.89% for the month and 5.52% for the year through April 30. Economic data from Argentina, Venezuela and Brazil has improved, according to emerging markets asset allocation analysis by officials at BAREP Asset Management, Paris.

Distressed managers, which are part of the event-driven sub-category of the index, were the top performers for the year-to-date, up 8.72%. Managed futures also performed well so far this year returning a positive 7.47%. For the month, the performance returns for managed futures was less enticing, up just 1.39%, but much improved from March when managed futures funds in the index lost 6.10%

The third best performer for the year was event-driven strategies, which gained 6.56% through April, benefiting from the positive performance of the distressed strategies included in the sub-index. For the month, event-driven returned 2.51%, while the remaining underlying sub-strategies finished the month up 2.03% (event-driven multi-strategy) and 1.52% (risk arbitrage). For the year, both underlying sub-categories have positive performance; the event-driven multi strategy is up 5.8%, while risk arbitrage gained just 0.13%.

Other strategies bounced back in April, too. Better-than-expected earning reports led to higher global equity markets significantly higher in April and in turn led to strong gains for equity-oriented strategies, according to a statement from Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC.

This trend can be seen in April’s performance in the long/short equity and dedicated short-bias index categories. Most of the CSFB/Tremont Index’s long/short managers picked up in April, as the strategy returned a positive 2.44%, while for the year April the strategy was up 2.58%.

Dedicated short-bias funds were victim of the market upswing. Those managers posted a loss of 6.36% in the month of April and for the year were down a total of 9.39%. After a phenomenal year in 2002, short-sellers are now struggling to have a repeat performance Previous HedgeWorld Story.

Arbitrage strategies and global macro also were up for the month and the year. The convertible arbitrage sub-index returned 6.94% for the year and 1.42% for the month of April. Not too far behind for the year is global macro at 5.48%, up 2.16% for the month. Fixed-income arbitrage did well, too, gaining 3.98% for the year-to-date and 1.25% for the month.

Multi-strategy funds in the index returned 3.93% for the year through April and were up 1.55% for the month.

The CSFB/Tremont Hedge Fund Index since inception has returned 159.01%. The index is comprised of 431 funds, up from 415 as of March 1. Twenty-two funds were added.

Those new funds are: Marathon Global Convertible Master Fund; Canyon Capital Arbitrage Master Fund Ltd.; BAREP Convertible Arbitrage Fund; Zazove Hedged Convertible Fund LP; Asian Credit Hedge Fund; AlphaGen Altai (Class A); AG Arb Partners LP; Vega Relative Value Fund; Alternatime; Highland Opportunity Fund Ltd; The Capital Fund Ltd; Vega Global Fund Limited; Gabelli Performance Partnership LP; Jupiter Hyde Park Hedge Fund Ltd.; Myers Limited Partnerships; Gabelli European Partners Ltd.; AlphaGen Avior Fund Ltd (Class B); Haidar Jupiter International-Short Equity Class; Malta Hedge Fund II LP; Aspect European Equity Fund (USD) Ltd.; Double Black Diamond Ltd. and Double Black Diamond LP.

Six funds were dropped. Two are under the US$10 million Pactual funds, Pactual-Eternity Fund Ltd. and Pactual-Infinity Fund Ltd., and the SEB Hedgefond Equity are believed to be liquidating, while Maple Row Partners LP liquidated. Appaloosa Investment Limited Partnership I and Palomino Fund Ltd. decided to report only to existing investors and no longer reports to the index.

In addition, Alpine Associates LP has been reclassified from the multi-strategy sub-index to the event-driven sub-index, and Watch Hill Fund LP merged into Watch Hill Strategic.

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

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