Investing March 15, 2004

CSFB: Hedge Indices Inch Higher in February

March 15, 2004 (PLANSPONSOR.com) - CSFB/Tremont hedge fund indices both enjoyed positive returns in February, as the Hedge Fund Index closed the month 1.40% higher and the Investable Hedge Fund Index rose an estimated 1.14%.
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The Hedge Fund Index’s return was helped by solid return in Managed Futures (6.89%) and Long/Short Equity (1.75%).   Other strong gainers were Emerging Markets (1.39%), Global Macro (1.19%) and Event Driven (0.95%), according to data released by CSFB/Tremont.

Index components were unanimously on the positive side.   Other return figures included:

  • Fixed Income Arbitrage (0.87%)
  • Equity Market Neutral (0.79%)
  • Multi-Strategy (0.39%)
  • Dedicated Short Bias (0.34%).

“Despite anticipation of a slowing equity market, the long short equity sector posted solid returns for the month, and all ten sectors of the Index contributed with positive performance, bringing the Index up 3.13% year-to-date,”Robert Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc, said in a news release.

Performance for the CSFB/Tremont Hedge Fund Index and the 10 style-based sector indices is calculated monthly.  February, January and year-to-date returns for all categories are listed at www.hedgeindex.com .

Investable Index

Similar to the composite index, leading the gainers in the Investable Index was Managed Futures, up 7.34% and Long/Short Equity 2.63% higher in February.   February’s 1.14% estimated return was slightly below the 1.25% confirmed performance for January (See Hedge Fund, Investable Indices Start ’04 Higher ).   Other gains were notched by:

  • Dedicated Short Bias (1.28%)
  • Global Macro (0.59%)
  • Emerging Markets (0.33%)
  • Fixed Income Arbitrage (0.22%).

Not faring so well in the Investable Index was Multi-Strategy, Event Driven and Equity Market Neutral. These strategies were down 0.57%, 0.20% and 0.04%, respectively, in February.

The CSFB/Tremont Investable Hedge Fund Index is designed to give investors broad exposure to hedge funds as an asset class. The index covers $240 billion in assets managed by 414 funds as of February 1, 2004.

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