Investing November 17, 2003

CSFB/Tremont: Hedge Fund, Investable Hedge Fund Indices Up in October

November 17, 2003 (PLANSPONSOR.com) - CSFB/Tremont hedge fund indices both had positive returns in October, as the Hedge Fund Index closed the month 1.38% higher and the Investable Hedge Fund Index was up 0.99%.
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Even though October’s return was not as high as September’s 1.52%, the Hedge Fund Index’s return was still on the positive side, boosted by solid returns in Long/Short Equity (2.46%) and Emerging Markets (2.25%).   Year-to-date the composite is up 12.02%, according to data released by CSFB/Tremont.

Index components were nearly unanimously on the positive side, with October’s lone decline noted in the Dedicated Short Bias category, which was down 7.56% as US stock indices continued their upward rise.   After Long/Short Equity and Emerging Markets, other winners for the month included:

  • Convertible Arbitrage – 1.67%
  • Event Driven – 1.53%
  • Multi-Strategy – 1.21%
  • Managed Futures – 0.78%.

Performance for the CSFB/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly.  October, September 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 Long/Short Equity, up 2.95% for October.   Following up September’s 0.70% return, the Investable index is now up 9.33% year-to-date.

Also a mirror image of the composite was October’s lone negative performance among the Investable index’s components, a negative 7.94% turned in by the Dedicated Short Bias component.    However, the remaining components were all positive, with gains of note including:

  • Convertible Arbitrage – 2.13%
  • Emerging Markets – 1.90%
  • Event Driven – 1.21%
  • Equity Market Neutral – 0.81%.

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 ).

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