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CSFB/Tremont Index Returns 1.08% in November

By Staff Writer

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NEW YORK (HedgeWorld.com)–The CSFB/Tremont Hedge Fund Index returned 1.08% in November and 13.23% year-to-date through November.

Long/short equity hedge funds performed best during the month with a return of 1.7%. Year-to-date through November, long/short equity funds returned 14.53%.

The November returns for long/short funds beat U.S. equity market indexes, such as the Standard & Poor’s 500 stock index, which returned 0.88%, and the Dow Jones industrial average, which returned 0.08%, according to a statement from Credit Suisse First Boston Tremont* Index LLC, which publishes the CSFB/Tremont Hedge Fund Index. For the year so far, though, those indexes still are ahead, with the S&P 500 posting a return of 22.27% and the Dow returning 19.85%.

Convertible arbitrage funds also performed well in November, returning 1.25%, bringing its year-to-date return to 12.11%.

Event-driven hedge funds together returned 1.21% in November and 18.26% in the first 11 months of the year. Within that group, multi-strategy event-driven funds returned 1.34% and 15.69%, respectively. Distressed funds returned 1.21% in November and 22.99% year-to-date. Risk arbitrage, also known as merger arb, returned 0.42% in November and 7.9% year-to-date.

Emerging markets funds returned 1.17% in November and are the big winners this year with a collective year-to-date return of 24.33%.

Multi-strategy hedge funds returned 0.88% in November and 12.43% in the year-to-date period through November.

Global macro funds, earlier very strong performers, have been reporting relatively weaker returns lately. In November, global macro funds returned 0.55% and are up 15.84% year-to-date.

Managed futures funds returned 0.54% and 8.27% in the same respective periods. And fixed-income arb funds returned 0.52% in November and 7.11% year-to-date, while equity market neutral funds returned 0.33% and 6.08%, respectively.

Amid the rallying stock market, short-biased funds continued to perform terribly. In November, short-biased funds returned negative 1.89% and year-to-date returned negative 29.8%.

The MSCI World Equity Index returned 1.5% and 25.3% in the same respective periods. The MSCI World Sovereign Debt Index returned 1.7% in November and 10.6% year-to-date.

Changes were made to the index, including the removal of three funds: Clinton Arbitrage Portfolio Ltd., which was liquidated Previous HedgeWorld Story, and Irvine Capital Partners LP and Haidar Jupiter International–Short Equity Class, both of which are no longer reporting, according to a statement from CSFB Tremont.

Investable Returns

CSFB Tremont also released returns for the CSFB/Tremont Investable Hedge Fund Index, which returned 0.54% in November and 9.78% in the year-to-date period.

Returns for the investable sub categories likewise were not as good as their broader index counterparts. The Investable Long/Short Equity index returned 1.54% in November and 15.96% in the year-to-date through November period. Investable Emerging Markets returned 1.48% and 28.19%, respectively.

The Investable Convertible Arbitrage index returned 1.33% and 12.83%, respectively, while the Investable Event-Driven index returned a respective 0.79% and 14.77%.

The Investable Multi-Strategy index returned 0.64% in November and 7.58% year-to-date through November, and the Investable Managed Futures index returned 0.19% and 7.2%, respectively.

The balance of the investable index categories posted negative returns in November. Investable Global Macro returned negative 0.06% in November and positive 13.53% year-to-date. For Investable Equity Market Neutral, the returns were negative 0.14% and positive 4.41%. Investable Fixed Income Arbitrage returned negative 0.25% and positive 2.86%, while for Investable Dedicated Short-Bias, returns were negative 1.61% and negative 28.26%, respectively.

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

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