NEW YORK, NY – The CSFB/Tremont Hedge Fund Index is up 1.40% for February 2004, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.
�Despite anticipation of a slowing equity market, the long short equity sector posted solid returns for the month, and all ten sectors of the Index contributed with positive performance, bringing the Index up 3.13% year-to-date,� said Mr. Schupp.
�Robust trends in futures markets helped the managed futures funds capture significant gains during February,� said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc. �The CSFB/Tremont Managed Futures Index outpaced all other strategies with returns of 6.89%.�
Performance for the CSFB/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly. February, January and year-to-date 2004 returns for all categories are listed at www.hedgeindex.com.
The CSFB/Tremont Hedge Fund Index value is 295.86 returning 195.86% for the 122-month period since inception (January 1, 1994 through February 29, 2004).
For additional current and historical data including more comparisons with other widely followed global indices, visit the CSFB/Tremont Hedge Fund Index web site at www.hedgeindex.com.
The CSFB/Tremont Hedge Fund Index is comprised of 414 funds as of February 1, 2004.
There was one technical add and drop last month as a result of the aggregation of various share classes of the same fund into a composite vehicle: two funds merged to form one composite. One fund, ACM Technology Hedge Fund, was dropped from the Index as it is no longer reporting.
The index is constructed using the TASS and CSFB/Tremont databases of more than 3,000 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but does not include funds of funds. In order to qualify for inclusion in the index selection universe, a fund must have a minimum of US $10 million under management, a 12-month track record, and audited financial statements. Index funds are selected using a formula based on assets under management that ensures the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe. Once added, funds are not excluded until they liquidate or fail to meet the reporting requirements, in order to minimize survivorship bias. The index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflow, including a reselection according to the procedure outlined above, on a quarterly basis.
Returns for the CSFB/Tremont Investable Index
The CSFB/Tremont Investable Hedge Fund Index is up an estimated 1.14% for the month of February 2004. The confirmed performance for January is 1.25%.
�The Investable Index is providing returns overall in line with our expectations resulting in a 2.41% return year-to-date,� said Mr. Schupp.
�Managed futures funds stole the show, up 7.34%,� said Mr. Schulman.
Performance for the CSFB/Tremont Investable Hedge Fund Index and the ten style-based sector indices is calculated monthly. Returns for the months of February, January and year-to-date 2004 for all categories are listed at www.hedgeindex.com.
The CSFB/Tremont Investable Hedge Fund Index was launched with 60 funds across 10 style-based sectors. The Investable Index was set at 100 on August 1, 2003 with aggregate assets under management at approximately US$55 billion, making it the industry�s largest investable index.
The funds currently included in the index are available on the web site at www.hedgeindex.com.
The CSFB/Tremont Investable Hedge Fund Index is designed to give investors broad exposure to hedge funds as an asset class. It fulfills investor demand for index-linked products created to reduce dependency on fund manager selection and fund concentration risk.
The CSFB/Tremont Investable Hedge Fund Index is based on the broad CSFB/Tremont Hedge Fund Index, which is the largest hedge fund index with $240 billion in assets managed by 414 funds as of February 1, 2004.
The funds in the CSFB/Tremont Investable Index, selected from the funds included in the main index, generally comprise the six largest funds that are open to investment and meet certain liquidity conditions in each of the 10 style-based sectors. The fund selection rules can be found on www.hedgefundindex.com and include the following criteria:
� Funds are selected from the CSFB/Tremont Hedge Fund Index by an asset-based formula
� The funds generally represent the six largest eligible �open� funds in each of the ten sectors
� The funds are determined by application of the construction rules
The CSFB/Tremont Investable Hedge Fund Index will be calculated monthly and re-balanced semi-annually. Additional features of the Investable Index include:
� Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters
� Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion
� Investable index eliminates dependence on manager skill
� A broad suite of investment products, soon to be announced
Credit Suisse First 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 Capital Management, Inc. Credit Suisse First Boston Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
Credit Suisse First Boston (CSFB) is a leading global investment bank serving institutional, corporate, government and individual clients. CSFB�s businesses include securities underwriting, sales and trading, investment banking, private equity, financial advisory services, investment research, venture capital, correspondent brokerage services and asset management. CSFB operates in 69 locations in 34 countries across five continents. The Firm is a business unit of the Zurich-based Credit Suisse Group, a leading global financial services company. For more information on Credit Suisse First Boston, please visit our Web site at http://www.csfb.com.
Tremont Capital Management, Inc. is one of the leading global alternative investment management firms, whose business lines include research and investment management services, sale and distribution of its proprietary investment products, and database sales and information services. Tremont advises on approximately $9 billion in alternative investment assets, including more than $1billion in its proprietary funds. Through its information and market intelligence unit, TASS Research, the firm provides data on the performance of more than 3,000 alternative investment managers and funds. Tremont, headquartered in Rye, New York with offices in Toronto, Bermuda and London, is a wholly owned subsidiary of Oppenheimer Acquisition Corp, the parent company of Oppenheimer Funds, Inc., one of the nation�s most respected asset managers.
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Certain statements in this Press Release constitute �forward looking statements� within the meaning of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause the actual results, performance or achievements of the companies to be materially different from any future results, performance or achievements expressed or implied by such forward looking statements. The Companies assume no obligation to update these forward looking statements to reflect actual results, changes in assumption or changes in other factors affecting such forward looking statements.
