Close Close

Portfolio > Alternative Investments > Hedge Funds

Managed Futures Shine, Boost CSFB/Tremont Index by 5.83%

Your article was successfully shared with the contacts you provided.

NEW YORK (–Hedge funds inched up another 2.65% in November, according to the CSFB/Tremont Hedge Fund Index.

Year-to-date through Nov. 30 the index was up 7.91%, which still lags the MSCI EAFE US$ Index. For the month, the hedge fund index also underperformed the Standard & Poor’s 500 Stock Index, which gained 3.86%.

Managed futures funds outperformed all the stock and hedge fund indexes, however, with a climb of 5.83% for November. The significant depreciation of the U.S. dollar and positive foreign exchange market trends were a boon to managed futures managers, Tremont officials said.

Equity trends were also a boost to some managers. “U.S., European and Japanese equities were generally positive for the month of November,” Robert I. Schulman, co-chief executive officer of Rye, N.Y.-based Tremont Capital Management Inc., said in a statement.*

Long/short equity managers were able make gains through stock selection and directionality, according to Mr. Schulman. Long/short equity managers garnered 3.45% last month, ranking behind event-driven managers, which gained 3.27% over the same time period.

Shorting stocks didn’t pay in November. Dedicated short-bias was the worst-performing strategy, with a dip of negative 7.71% for the month, leaving the strategy down 3% for the year in the broad hedge fund index. The CSFB/Tremont Sector Invest Index for dedicated short-bias is stalled at an 8.45% loss year-to-date.

Event-driven plays remain top performers, according to CSFB/Tremont, with distressed, event-driven multi-strategy and risk arbitrage managers finishing the year through November up 13.43%, 11.12% and 4.08% respectively.

The CSFB/Tremont Investable Index finished the month slightly lower than its non-investable counterpart, with a gain of just 1.73%. Comprising funds with more than US$95 billion in combined assets, the investable index is up 4.18% for the year.

The monthly performance of CSFB/Tremont’s third set of indexes, the Sector Invest Indexes, was in line with the others, with the exceptions of managed futures, event driven and emerging markets strategies.

For managed futures the year-to-date performance in the Sector Invest Indexes was up 10.17%, ahead of the non-investable index’s 5.2% gain. In event-driven strategies, Sector Invest Index managers had a return of 4.24%, as opposed to an 11.92% increase in the original hedge fund index. Emerging markets managers, however, had better performance in the non-investable index, 10.94%, for the year through November. Emerging markets managers in the sector index gained 5.07% for the same time period.

The CSFB/Tremont Hedge Fund Index totals 384 funds as of Nov. 30. During the month the Value Partners ‘A’ fund was moved from the long/short equity sector to emerging markets. Three funds were dropped from the index for no longer reporting performance: Barep Convertible Arbitrage; Mellon HBV Arbitrage Fund and Sapphire Partners LLC.

Officials also said that the equity market neutral sub strategy, which was up 0.26% for the month, was revised slightly downward to account for a prior misstatement.

The CSFB/Tremont Hedge Fund Index is calculated as a total return index on a monthly basis, adjusted for asset inflow and outflow, including a reselection procedure performed on a quarterly basis.

The CSFB/Tremont Investable Index returns are net a 0.07% calculation fee and are based on the broader index generally including the performance of the six largest funds that are open to investment and that meet certain liquidity constraints in each of the 10 style-based categories.

The CSFB/Tremont Sector Invest Indexes are constructed from the funds included in the broad index but include the largest funds that are open to investment in each of the style sectors. This index calculation is also net a 0.07% calculation fee.

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

Contact Bob Keane with questions or comments at [email protected].