For the third month in a row, short-bias funds have been the index’s top performer, edging out other investment strategies with a 13.8% return for the month and showing a stellar 14.8% return for the year-to-date.
Overall the CSFB/Tremont Hedge Fund Index is a negative 1.5% for the month and a positive 2.1% for the year-to-date.
“The ability to short really paid off in November as the S&P 500 and the NASDAQ suffered more losses and finished the month down 8% and 22.9% respectively,” said Roland Lorenzo, president and chief operation officer of Credit Suisse First Boston Tremont Index LLC in a press release.
And while short sellers had the best performance for the month, convertible arbitrage managers had the top performance for the year-to-date with a 25.1% return. But for the month of November convertible arbitrage managers had a tougher time of it, posting a negative 0.5% return.
Regardless of some negative returns, all hedge fund strategies in the index beat the traditional market indexes. The worst performer for the month in the CSFB/Tremont index was long/short equity at a negative 3.8%, which is still better than any of the traditional market indexes such as the S&P 500 and NASDAQ Composite. The worst hedge fund performer for the year was emerging markets at a negative 7.7%, which is still better than the Dow Jones Industrial Index’s negative 9.4% return for the year-to-date.
The CSFB/Tremont Hedge Fund Index has returned 125% for the 83-month period since inception on Jan. 1, 1994.
The index is comprised of 337 funds and is constructed using a database of more than 2,600 hedge funds. The CSFB/Tremont Hedge Fund Index includes both onshore and offshore funds, but does not include funds of funds. Funds are not excluded until they liquidate or fail to meet the financial reporting requirements, in order to minimize survivorship bias. In order to qualify for the inclusion in the universe, a fund must have US$10 million under management and an audited financial statement.
The index is calculated monthly and adjusted for capitalization and return. Funds are reselected on a quarterly basis.
The CSFB/Tremont Hedge Fund Index is on HedgeWorld’s home page at www.hedgeworld.com .
Credit Suisse Fist Boston Tremont Index LLC is the joint venture company of Credit Suisse First Boston Index Co., Inc., a subsidiary of Credit Suisse First Boston Inc. and Tremont Advisers, Inc. Tremont Advisers is a strategic partner and minority investor in HedgeWorld.com.
By Susan L. Barreto, Senior Reporter SBarreto@HedgeWorld.com