Even though November’s return was not as high as October’s 1.38% (See CSFB/Tremont: Hedge Fund, Investable Hedge Fund Indices Up in October), the Hedge Fund Index’s return was still on the positive side, boosted by solid returns in Long/Short Equity (1.70%), Event Driven Multi-Strategy (1.34%) and Convertible Arbitrage (1.25%). Year-to-date the composite is up 13.23%, according to data released by CSFB/Tremont.
Index components were nearly unanimously on the positive side, with November’s lone decline noted in the Dedicated Short Bias category, which lost 1.89% as US stock indices continued their upward rise. Other winners for the month included:
- Event Driven – 1.21%
- Event Driven Distressed – 1.21%
- Emerging Markets – 1.17%
Performance for the CSFB/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly. November, October, and year-to-date returns for all categories are listed at www.hedgeindex.com .
Similar to the composite index, leading the gainers in the Investable Index was Long/Short Equity, up 1.54% for November. Following October’s 0.86% return, the Investable index was up 0.54% in November and is 12.83% higher year-to-date.
Also a mirror image of the composite was November’s lone negative performance among the Investable index’s components, a negative 1.61% turned in by the Dedicated Short Bias component, down from October’s -7.84%. However, the remaining components were all positive, with gains of note including:
- Emerging Markets – 1.48%
- Convertible Arbitrage – 1.33%
- Event Driven – 0.79%
- Investable Multi-Strategy – 0.64%.
The CSFB/Tremont Investable Hedge Fund Index is designed to give investors broad exposure to hedge funds as an asset class. At launch, on August 1, 2003, the aggregate assets under management for the 60 index constituents totaled approximately $55 billion (See CSFB/Tremont Introduces New Hedge Index ).