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Tremont Index Up in November

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NEW YORK (–More proof that October’s poor returns were a blip on the hedge fund radar arrived [on December 15] when Credit Suisse First Boston/Tremont released figures showing its hedge fund index was up 1.48% in November, totally reversing October’s 1.46% loss.

Emerging markets and long/short equity managers led the way, returning 2.43% and 2.22%, respectively. Both strategies posted negative returns of similar magnitudes in October–emerging markets losing 2.78% and long/short equity giving up 2.29%. For the year, emerging markets managers are up 14.59% and long/short equity is up 6.72%.

“Increased appetite for risk and lower inflation fears let global equity indices raise significantly in November,” said Oliver Schupp, president of CSFB/Tremont Index LLC, in a statement. “Long/short equity and emerging markets managers especially profited from the trend.”

Managed futures managers posted the best return in November, 4.17%. Mr. Schupp said they profited on the strengthening U.S. dollar and falling oil prices. For the year managed futures managers are up 2.48%.

All but three of the 10 strategies tracked by the CSFB/Tremont Hedge Fund Index posted positive results in November. Seven of 10 strategies were negative in October. Last month, only dedicated short bias, fixed-income arbitrage and convertible arbitrage strategies saw losses. Short-biased managers in the index lost 1.25% thanks to gains in equity markets. The Standard & Poor’s 500 stock index earned 3.78%, while the Dow Jones Industrial Index posted a 3.91% gain and the Russell 2000 was up 4.85%. Year-to-date, dedicated short managers in the index are up 19.33%, the best-performing strategy in the index.

Convertible arbitrage managers, down 3.48% for the year, had rallied in recent months after struggling early. November’s negative 0.43% return was another setback, though, following October’s nearly flat 0.07% loss. “Selling pressure on convertibles and a contraction in equity volatility led the convertible arbitrage sector down ?? 1/2 in November,” said Robert I. Schulman, chief executive of Tremont Capital Management Inc., in a statement.

Event-driven managers, up 7.39% for the year, returned 1.28% in November, led by distressed strategies, which earned 1.63% last month. For the year they are up 9.84%. Event-driven multi-strategy funds earned 1.03% in November, and risk arbitrage earned 1.01%. Those two strategies are up 5.86% and 2.21% for the year, respectively.

Global macro managers earned 1.08% in November, bringing their year-to-date gains to 7.55%. Multi-strategy funds, which earned 1.3% in November, are up 5.54% for the year.

The index saw some changes in its constituents and some reclassifications in November. The BTOP Multi-Strategy, Advisory U.S. Equity Market Neutral and AlphaGen Cephus funds were dropped from the constituent list. Systeia Event Driven fund was moved to the event-driven multi-strategy category, Balanced International Investment Strategies was moved to the multi-strategy category and Marathon Master Fund was moved to emerging markets.

The index comprised 416 funds as of the end of November.

Results for the CSFB/Tremont Investable Hedge Fund Index by and large lagged those of the broader index in November. The investable index returned 0.77% last month, led by managed futures (3.26%) and long/short equity (2.04%). Emerging markets managers returned 1.95%. Year-to-date, managed futures managers are up 2.77% in the investable index, while long/short equity is up 7.69% and emerging markets is up 12.43%. In October, the investable index had a return of negative 0.76%.

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


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