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Portfolio > Alternative Investments > Hedge Funds

CSFB/Tremont Index Down; Short-bias Strategies Yield Strong Returns

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NEW YORK (–World economic factors played a role in the downturn of the CSFB/Tremont* Hedge Fund Index, which fell 0.58% in April and was only up 2.82% for the year through April 30.

Declining U.S. equity markets, fears of interest rate hikes, a slowdown in growth in China, declines in emerging markets and negative high-yield markets contributed to hedge funds’ negative returns, according to a statement from Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC.

The hedge fund indexes’ performance still was better than that of the general U.S. and world equity markets as a whole. The Dow Jones Industrial Index lost 1.28% in April and was still in negative territory to the tune of 2.18% for the year. The MSCI World Index also lost 1.99% for the month and was up only 0.5% for the year.

Short-bias managers were strong performers, though, returning 4.23% in April. After losing 2.56% in March, the strategy was only up 0.14% for the year. Fixed-income arbitrage also did well in April with a gain of 1.34%, and was the only other strategy to break the 1% mark in April.

Other strategies flirted with negative performance in April. Still posting positive returns were: distressed, 0.66%; event driven, 0.51%; event-driven multi-strategy, 0.47%; convertible arbitrage, 0.46%; multi-strategy, 0.32%; and global macro, 0.14%.

Some of the categories barely posting positive gains during the month were performance leaders year-to-date. Distressed, event driven and event driven multi-strategy reported gains of 4.62%, 4.13% and 3.86% respectively.

Emerging markets, equity market neutral, risk arbitrage, long/short equity and managed futures managers all posted negative numbers in April. The worst monthly performance was from managed futures, which lost 6.46%.

Performance numbers from the CSFB/Tremont Investable Hedge Fund Index were similar, with the index slipping 0.94% for the month and up 1.67% for the year. The assets under management in the investable index totals US$55 billion.

The regular CSFB/Tremont Index as of April 1 had 433 funds. There were three funds dropped from the index, while 28 funds were added. ACM Research Fund, Sabre Market Neutral Fund and Tudor Hawthorn Fund were dropped.

Added were: Hermitage Fund, Admiralty Fund, FX Concepts Global Currency Program Fund, Oracle Partners, Jayhawk China Fund, Boyer Allan Japan Fund, Wessex Asia Pacific Fund, Henderson Asia Pacific Absolute Return Fund, Bridgewater Pure Alpha Fund, Caduceus Capital, Martin Currie Absolute Return Japan Fund, Vega Feeder Fund, Asymmetric Convertible Fund, Martin Currie Absolute Return Asia Fund, Martin Currie China Hedge Fund, FX Concepts Multi-Strategy Fund, Asuka Japanese Equity Long Short Offshore Trust, Bricoleur Enhanced, Mellon HBV Multi-Strategy, Kingsford Capital Management, M&M Arbitrage, Analytic US Market Neutral, Zebedee European Fund, Seligman Tech Spectrum Fund, Systeia Event Driven Fund, JANA Master Fund, Longacre Master Fund and RAB Europe Fund.

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

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Contact Robert F. Keane with questions or comments at:

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