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Portfolio > Alternative Investments > Hedge Funds

Managed Futures Tops CSFB/Tremont Index

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CHICAGO (–Managed futures strategies once again topped the charts with a monthly return of 5.14%, which puts the strategy ahead for the year with a return of 13% for the year through May 31.

Other hedge fund strategies hovered in the 2% to 3% range for the month with the Credit Suisse First Boston Tremont* Hedge Fund Index up 2.71% in May. With a year-to-date performance of 7.05%, the index was behind the Standard & Poor’s 500 stock index, which was up 5.26% in May and up 10.34% for the year-to-date.

Directional equity-oriented hedge funds took advantage of the bullish market in May, according to a CSFB/Tremont announcement. Strategies not exclusively focused on U.S. equities, such as emerging markets and distressed securities, were among the best performers, with the emerging markets sub index posting a 5.01% gain for the month, with year-to-date performance of 10.81%. A non-equity oriented strategy, global macro, was up 2.96% in May and up 8.61% for the year.

Distressed securities gained 2.27% during the month but for the year were up a healthy 11.19%. Long/short equity managers were the third-best-performing strategy for the month with a gain of 3.68%. For the year, the strategy has done well, too, posting a return of 6.36%.

Event-driven strategies were in the black, also, with risk arbitrage gaining 2.56% for the month but up just 2.68% for the year-to-date, while event-driven multi-strategy was up 2.37% and 8.31% for the same periods, respectively. Overall, the event-driven subcategory had positive performance of 2.35% in May and 9.07% for the year.

Multi-strategy managers were up 1.96% for the month and are still doing well this year with a positive performance of 5.97%. Convertible arbitrage and fixed-income arbitrage had monthly gains of 1.76% and 1.28%, respectively. For the year, convertible arbitrage managers still faired better than the overall CSFB/Tremont index with a positive 8.83% return, as compared with fixed-income arbitrage 5.31% gain.

The only negative-performing sub category was dedicated short-bias, which stumbled as the stock market has began its ascent. Short sellers lost 5.45% during the month of May and for the year have reported a negative 14.33% performance.

The CSFB/Tremont Index has returned 166.04% since its inception in January 1994. The index is comprised of 431 funds as of May 1, which was unchanged from the previous month. Index funds are selected using a formula based on assets under management, which ensures that the index always represents at least 85% of the total assets in each of the 10 strategy-based sectors in the selection universe.

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

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