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Portfolio > Alternative Investments > Hedge Funds

Short-Sellers Welcome January Thaw, While CTA Performance Is Put on Ice

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NEW YORK (–Dedicated short-bias funds took investors by surprise posting a gain of 6.96% in January, according to the CSFB/Tremont Hedge Fund Index.

At the same time, managed futures strategies gave up 5.39% after putting up healthy performance figures in recent months. Last month’s index results show the strategies at or near the top and bottom of the hedge fund index, switching places from where they were only a couple months ago, when managed futures gained 5.83% in November and dedicated short-bias managers lost 7.71% for the same time period.

Managed futures managers had a difficult month with classic long-term trend followers hurting the worst, said Robert I. Schulman, co-chief executive at Tremont Capital Management Inc.,* Rye, N.Y., in a statement

Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC, said in a statement that Asian markets declined, while in Europe the environment was positive for managers to increase their long positions. “Dedicated short-bias managers generally reported very strong returns as U.S. equity market indices declined,” he said.

The CSFB/Tremont Hedge Fund Index’s loss of 0.34% in January still outperformed traditional stock indexes with the Standard & Poor’s 500 stock index losing 2.53% and the Dow Jones Industrial Index dipping 2.59%.

S&P’s Hedge Fund Index also got off to a rocky start in 2005, with a loss of 0.47% (see ), a performance echoed by the MSCI Hedge Fund Composite Index, which was minus 0.4% for January (see ).

The CSFB/Tremont index is constructed using a database of more than 4,500 hedge funds and totals 390 funds with US$319 billion in assets under management.

Ten hedge funds were added to the index in January. They are: O’Connor Global Convertible Arbitrage Master Ltd.; Akanthos Arbitrage Master Fund LP; O’Connor Global Fundamental Market Neutral Long/Short Master Ltd.; O’Connor Global Quantitative Equity Master Limited; Ore Hill International Fund Ltd.; Parmenides Master Fund LP; Threadneedle European Crescendo Fund Limited; Threadneedle UK Crescendo Fund Ltd.; JK Navigator Fund; and IKOS Multi Strategy.

Two funds, Maga Fund Ltd. and Olympus Euro Fund Ltd., were removed from the index because they are no longer reporting.

Investable Indexes

The CSFB/Tremont Investable Indexes showed similar results to the master index, with the Investable Dedicated Short Bias index gaining 4.86% net in January and the Investable Managed Futures index showing a negative return of 5.88%.

The investable hedge fund index overall tallied a loss of 0.64%, after a December net gain of 1.07%.

Emerging markets managers were the next best investable sector index with a gain of 0.86%. Equity market neutral, fixed-income arbitrage and global macro strategies also picked up slight gains of 0.51%, 0.19% and 0.41%, respectively.

Event-driven, long/short equity and multi-strategy index returns dipped by 0.26%, 0.11% and 0.75%, respectively.

The CSFB/Tremont Investable Hedge Fund Index is made up of 60 hedge funds across 10-style categories with aggregate assets under management of the index constituents of more than US$96 billion.

Sector Invest Indexes

The CSFB/Tremont Sector Invest Indices give investors another view of the CSFB/Tremont returns but are largely the same in their results.

Net of a 0.07% calculation fee, the Sector Invest Dedicated Short Bias was up 5.26% in January, while the Sector Invest Managed Futures index lost 5.73%. Equity Market Neutral was the next best performing index with a gain of 0.71%, and the Sector Invest Multi-Strategy index gained 0.70%.

The Sector Invest Indices are a larger sampling of hedge funds than the CSFB/Tremont investable indexes and are based on a 114 funds with assets totaling more than US$133 billion.

*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].


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