CSFB/Tremont Hedge Index Retreats 0.23% in May

June 15, 2004 (PLANSPONSOR.com) - The CSFB/Tremont Hedge Fund Index gave up 0.23% in May 2004, according to a Credit Suisse First Boston Tremont news release.

The announcement said May’s negative showing represented the second straight decrease in light of April’s 0.58% loss. Year to date, the index is up 2.58%.

“Exogenous factors continue to drive the overall market conditions – fears of interest rate hikes, terrorist attacks, rising oil prices and a slowdown in China,” said Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC.  

Among the component indices, Dedicated Short Bias led the pack of less-than-overwhelming performers with a 0.76% May advance on top of a 4.23% April gain and 0.90% ahead year to date. Meanwhile, Event Driven Risk Arbitrage had a 0.44% May gain after losing 0.58% the month before and a 1.92% year to date result.

In the losing category, Emerging Markets headed the list with a 1.81% giveback, after a 3.31% April loss and a 0.51% showing over the year. Convertible Arbitrage came in second with a 1.33% retreat in May on top of a 0.46% April gain and a 1.24% year-to-date performance.

The CSFB/Tremont Hedge Fund Index is comprised of 425 funds as of May 1, 2004.

Tuesday’s news release also reported that the CSFB/Tremont Investable Hedge Fund Index is down an estimated 0.38% for the month of May 2004 while the confirmed performance for April is down 1.01%.

“Fixed income arbitrage managers were generallysuccessful this month with directionally oriented managers continuing to profit from short bond market trades and inter-country spreads primarily with US and European government bonds,” said Schupp.   “This sector is leading year-to-date, up 2.88%.”  

CSFB/Tremont also announced that charts showing the style-based sector weights of the CSFB/Tremont Hedge Fund Index and the CSFB/Tremont Investable Hedge Fund Index have now been added to the Web site, www.hedgeindex.com .