Hedge Funds Maintain Edge in Slumping September Markets

October 15, 2001 (PLANSPONSOR.com) -The CSFB/Tremont Hedge Fund Index fell by 0.8% in September 2001, outperforming most major US equity indices, and bringing year to date returns to 2.2%.

Winning hedge strategies in September were:

  • Managed Futures, where funds increased by 3.6%
  • Dedicated Short Bias, where funds were up by 2.9%, and
  • Global Macro, where funds rose by 1.2%

In comparison, the Dow Jones Industrial Average fell by 11.1%, the S&P 500, slid down by 8.2%, and the Nasdaq decreased by 17%

Last month, dedicated short bias strategies led the way, with a 3.7% increase, versus the 2.5% return recorded by managed futures approaches.

Year to Date

The best-performing strategies on a year to date basis were:

  • Global Macro, which is up by 14.6%,
  • Convertible Arbitrage, which boasts returns of 12.2%, and
  • Dedicated Short Bias, were funds have increased by 10.7%

The CSFB/Tremont Hedge Fund Index returned 136.0% for the 93-month period since inception in January 1, 1994.

Performance for the CSFB/Tremont Hedge Fund Index, which comprises 375 funds, and the nine style-driven sub-indices are calculated monthly for capitalization and return. The Index is reselected quarterly.