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Emerging Markets, Global Macro Funds Top March CSFB/Tremont Index

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NEW YORK (–Hedge fund managers who took international bets generated the best returns in March, according to Credit Suisse First Boston/Tremont Hedge Fund Index returns.

Emerging markets managers tracked by the index earned 1.83% in March, leading all other strategies. Global macro managers earned 0.97%, the second-best return among the 10 sectors tracked by the index.

“Emerging markets managers took advantage of geopolitical fluctuations during March and outpaced all other strategies,” said Robert I. Schulman, co-chief executive of Tremont Capital Management Inc.,* Rye, N.Y.

Overall, the CSFB/Tremont Hedge Fund Index returned 0.28% in March, bringing its year-to-date return through March 30 to 3.42%, ahead of the Standard & Poor’s 500 stock index, the Dow Jones Industrial Index, the Nasdaq Composite Index and the Morgan Stanley Capital International World Index. Only the MSCI Europe Australasia Far East Index has outpaced hedge funds tracked by CSFB/Tremont so far this year. The MSCI EAFE Index returned 4.4% through March 30.

“Despite a difficult and volatile environment in the equity and bond markets, combined with widening credit spreads, hedge fund managers posted generally positive returns for the month,” said Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC.

Event-driven, convertible arbitrage, multi-strategy and long/short equity managers all earned positive returns in March. Event-driven managers posted a collective 0.45% return during the month, led by risk arbitrage strategies, which returned 0.73%. Distressed strategies returned 0.59% and event-driven multi-strategy funds returned 0.29%, according to the CSFB/Tremont returns. For the year, the event-driven sector has returned 3.59%.

Convertible arbitrage managers earned 0.42% in March, bringing their year-to-date returns as tracked by the index to 2.13%. Multi-strategy funds earned 0.41% in March, and have posted year-to-date returns of 2.42%. Long/short equity managers earned 0.2% in March and have earned 4% year-to-date through March 30.

Managed futures funds lost 0.86% in March, but lead all strategies year-to-date with a 7.1% return. Emerging markets strategies have the second-best returns year-to-date at 5.86%.

Dedicated short-biased funds continued to struggle in March, posting a negative 2.56% return after earning 0.34% in February. The strategy has lost 3.92% year-to-date, the only strategy tracked by the index with a negative return through March 30.

After earning 0.79% in February, equity market neutral strategies essentially were flat in March, earning a negative 0.11% return. For the year, those strategies have earned a positive 1.49%.

Fixed-income arbitrage managers lost 0.49% in March and stand at a positive 1.61% for the year.

The index, which is constructed using funds from the TASS and CSFB/Tremont hedge fund databases, dropped two funds in March–New York-based Baker Nye Greenblatt Inc.’s Baker Nye LP fund and New York-based Clinton Group Inc.’s Trinity Fund–because they stopped reporting to the index. CSFB/Tremont Index officials also moved Caspian Capital Management LLC’s CDC MBS Fund LAMBDA to the fixed-income arbitrage sector from the emerging markets sector.

CSFB/Tremont’s investable hedge fund index was nearly flat in March, posting a 0.08% gain. As with the hedge fund index, the investable index in March was led by emerging markets strategies, which returned 1.57%, and global macro, which returned 1.18%. Year-to-date through March 30, those two strategies are up 5.97% and 2.19%, respectively. Managed futures are leading all strategies year-to-date with a 7.5% return, despite a negative 0.57% return in March.

Again, dedicated short-biased funds are trailing all others in performance, turning earning negative 3.48% in March and negative 4.55% year-to-date.

The investable index comprises 410 funds with US$240 million in assets as of March 1.

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

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