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Global Macro Tops CSFB/Tremont Index

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NEW YORK (–Global macro managers are back on top, according to the CSFB/Tremont* Hedge Fund Index results for the month of September, while overall the index posted returns of 1.52% for the month.

But global macro strategies outperformed the index with a monthly return of 3.04%, which topped the performance of the Standard & Poor’s 500 stock index and the Dow Jones industrial average index, which each lost in excess of 1% last month.

For the year-to-date through Sept. 30, the story is a different one. The CSFB/Tremont Hedge Fund Index gained 10.5% so far this year, while its long-only counterparts of the S&P 500 and DJIA each have outperformed with returns of 14.71% and 13.11%, respectively.

But global macro has topped them all, due to the power of diversification, Bob Schulman, co-chief executive officer of Tremont Capital Management Inc., Rye, N.Y., said in a statement. For the year to date, global macro has returned 15.10%. Emerging markets funds had the second best performance among hedge fund strategies with a net return of 2.65% for the month and had the top performance for the year to date of 20.18%.

Distressed securities had the second best performance so far this year of 19.17%. For the month distressed managers still did well with a gain of 2.21%. Distressed is actually a component of the event-driven subcategory, which overall posted a return of 1.8% for the month and 15.08% for the year to date. Also part of the event-driven sector, event-driven multi-strategy and risk arbitrage also performed positively in September.

Other upbeat performers for the month were: convertible arbitrage (1.97%); multi-strategy (1.68%); long/short equity (1.21%); fixed-income arbitrage (1.16%); equity market neutral (1.06%). Only two strategies had negative performance for the month: dedicated short bias and managed futures. Dedicated short bias lost 0.42% for the month and for the year has given up 22.6%. A negative 1.6% performance mars managed futures positive performance that still is up 6.86% for the year to date.

The CSFB/Tremont Investable Hedge Fund Index is up 0.75% and performed comparably to the original CSFB/Tremont index. According to officials, the different strategy weightings are to blame for the lower performance of the index. The index took on a heavier weighting to long/short equity and managed futures strategies that didn’t perform as well as other hedge fund strategies for the last month. Still, the investable index is up 8.32% for the month.

The regular CSFB/Tremont Hedge Fund Index value is 274.61, returning 174.61% for the 117-month period since inception (Jan. 1, 1994 through Sept. 30, 2003). The CSFB/Tremont Hedge Fund Index is comprised of 442 funds as of Sept. 1, 2003.

Two funds were dropped. They are Wharton Asian Equity Linked Fund, which liquidated, and CRM Partners LP, which is no longer reporting.

The 60 funds in the CSFB/Tremont Investable Index are selected from the 442 funds included in the main index and generally comprise the six largest funds that are open to investment and meet certain liquidity conditions in each of the 10 style-based sectors.

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

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