{"id":2731,"date":"2004-09-15T00:00:00","date_gmt":"2004-09-15T00:00:00","guid":{"rendered":""},"modified":"-0001-11-30T00:00:00","modified_gmt":"-0001-11-30T04:00:00","slug":"csfb-tremont-hedge-fund-index-up-014-percent-august","status":"publish","type":"post","link":"https:\/\/hedgeco.net\/news\/09\/2004\/csfb-tremont-hedge-fund-index-up-014-percent-august.html","title":{"rendered":"CSFB\/Tremont Hedge Fund Index Is Up 0.14% In August"},"content":{"rendered":"
\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/div>\n
\n

NEW YORK, NY, September 15, 2004\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span><\/span><\/i> — The CSFB\/Tremont Hedge Fund Index is up 0.14% for August 2004, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> <\/span><\/span><\/font><\/font><\/font> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span><\/span>\u00c3\u00af\u00c2\u00bf\u00c2\u00bdAugust was a volatile month in both the US and European equity markets,\u00c3\u00af\u00c2\u00bf\u00c2\u00bd said Mr. Schupp.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> \u00c3\u00af\u00c2\u00bf\u00c2\u00bdLong\/Short Equity managers ended largely flat for the month, trading on very low volumes, which is typical at the end of summer.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd\u00c3\u00af\u00c2\u00bf\u00c2\u00bd\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span><\/span> <\/font><\/font> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bdThe Equity Market Neutral managers were generally positive, resulting in the highest return for the month from that sector,\u00c3\u00af\u00c2\u00bf\u00c2\u00bd said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> \u00c3\u00af\u00c2\u00bf\u00c2\u00bdIncreased volatility in the first half of the month generally helped statistical arbitrage managers garner profits.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> Some fundamental managers, who typically have a long value\/short growth bias, posted gains on the short side of their portfolios as growth-driven equities underperformed value driven equities during the month.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span><\/font> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

Performance for the CSFB\/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> August, July and year-to-date 2004 returns for all categories are listed below and at<\/font> www.hedgeindex.com<\/font><\/a>.<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
\n

Category<\/span> <\/p>\n<\/td>\n

\n

Aug 2004<\/span> <\/p>\n<\/td>\n

\n

July 2004<\/span> <\/p>\n<\/td>\n

\n

YTD 04<\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font> <\/p>\n<\/td>\n<\/tr>\n

\n

CSFB\/Tremont Hedge Fund Index<\/span><\/b> <\/p>\n<\/td>\n

\n

0.14%<\/span><\/b> <\/p>\n<\/td>\n

\n

-0.31%<\/span><\/b> <\/p>\n<\/td>\n

\n

2.75%<\/span><\/b> <\/p>\n<\/td>\n<\/tr>\n

\n

Convertible Arbitrage<\/span> <\/p>\n<\/td>\n

\n

0.28%<\/span> <\/p>\n<\/td>\n

\n

-0.20%<\/span> <\/p>\n<\/td>\n

\n

0.55%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Dedicated Short Bias<\/span> <\/p>\n<\/td>\n

\n

1.27%<\/span> <\/p>\n<\/td>\n

\n

8.12%<\/span> <\/p>\n<\/td>\n

\n

9.10%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Emerging Markets<\/span> <\/p>\n<\/td>\n

\n

1.83%<\/span> <\/p>\n<\/td>\n

\n

-0.14%<\/span> <\/p>\n<\/td>\n

\n

3.10%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Equity Market Neutral<\/span> <\/p>\n<\/td>\n

\n

2.13%<\/span> <\/p>\n<\/td>\n

\n

0.31%<\/span> <\/p>\n<\/td>\n

\n

4.71%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Event Driven<\/span> <\/p>\n<\/td>\n

\n

0.45%<\/span> <\/p>\n<\/td>\n

\n

0.00%<\/span> <\/p>\n<\/td>\n

\n

5.71%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> Distressed<\/span> <\/p>\n<\/td>\n

\n

0.56%<\/span> <\/p>\n<\/td>\n

\n

0.52%<\/span> <\/p>\n<\/td>\n

\n

7.14%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> Event Driven Multi-Strategy<\/span> <\/p>\n<\/td>\n

\n

0.38%<\/span> <\/p>\n<\/td>\n

\n

-.34%<\/span> <\/p>\n<\/td>\n

\n

4.78%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> Risk Arbitrage<\/span> <\/p>\n<\/td>\n

\n

0.18%<\/span> <\/p>\n<\/td>\n

\n

-1.52%<\/span> <\/p>\n<\/td>\n

\n

0.80%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Fixed Income Arbitrage<\/span> <\/p>\n<\/td>\n

\n

-0.41%<\/span> <\/p>\n<\/td>\n

\n

0.70%<\/span> <\/p>\n<\/td>\n

\n

4.67%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Global Macro<\/span> <\/p>\n<\/td>\n

\n

-0.75%<\/span> <\/p>\n<\/td>\n

\n

0.82%<\/span> <\/p>\n<\/td>\n

\n

4.42%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Long\/Short Equity<\/span> <\/p>\n<\/td>\n

\n

0.09%<\/span> <\/p>\n<\/td>\n

\n

-1.42%<\/span> <\/p>\n<\/td>\n

\n

1.46%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Managed Futures<\/span> <\/p>\n<\/td>\n

\n

-1.53%<\/span> <\/p>\n<\/td>\n

\n

-1.95%<\/span> <\/p>\n<\/td>\n

\n

-6.99%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

Multi-Strategy<\/span> <\/p>\n<\/td>\n

\n

0.41%<\/span> <\/p>\n<\/td>\n

\n

-0.29%<\/span> <\/p>\n<\/td>\n

\n

2.81%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font> <\/p>\n<\/td>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font> <\/p>\n<\/td>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font> <\/p>\n<\/td>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font> <\/p>\n<\/td>\n<\/tr>\n

\n

Dow Jones Industrial Index*<\/span> <\/p>\n<\/td>\n

\n

0.34%<\/span> <\/p>\n<\/td>\n

\n

-2.69%<\/span> <\/p>\n<\/td>\n

\n

-2.68%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

MSCI $ World Index*<\/span> <\/p>\n<\/td>\n

\n

0.48%<\/span> <\/p>\n<\/td>\n

\n

-3.24%<\/span> <\/p>\n<\/td>\n

\n

0.91%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

MSCI EAFE US $ Index*<\/span> <\/p>\n<\/td>\n

\n

0.46%<\/span> <\/p>\n<\/td>\n

\n

-3.23%<\/span> <\/p>\n<\/td>\n

\n

1.95%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

NASDAQ Composite US $ Index<\/span> <\/p>\n<\/td>\n

\n

-2.61%<\/span> <\/p>\n<\/td>\n

\n

-7.83%<\/span> <\/p>\n<\/td>\n

\n

-8.25%<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

S&P 500 Index*<\/span> <\/p>\n<\/td>\n

\n

0.40%<\/span> <\/p>\n<\/td>\n

\n

-3.31%<\/span> <\/p>\n<\/td>\n

\n

0.42%<\/span> <\/p>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

*Total Return Indices<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

The CSFB\/Tremont Hedge Fund Index value is 294.78, returning 194.78% for the 128-month period since inception (January 1, 1994 through August 31, 2004).<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/span> <\/p>\n

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<\/font> www.hedgeindex.com<\/span><\/a><\/span>.<\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

The CSFB\/Tremont Hedge Fund Index is comprised of 387 funds as of August 1, 2004.<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/span> <\/p>\n

Only one fund, Morley Alternative Investment Strategy, was dropped from the Index as it is no longer reporting.<\/span>\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> No funds were added to the Index.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span><\/span> In addition,<\/span> there were 24 technical drops and 11 technical adds last month as a result of the aggregation of various share classes of the same fund into a composite vehicle.<\/span><\/font> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

The Index is constructed using the TASS and CSFB\/Tremont databases of more than 3,000 hedge funds.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> It includes both open and closed funds located in the U.S. and offshore, but does not include funds of funds.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> 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.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> 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.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> Once added, funds are not excluded until they liquidate or fail to meet the reporting requirements, in order to minimize survivorship bias.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> 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. <\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

Returns for the CSFB\/Tremont\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> Investable Index<\/font><\/font><\/u><\/span> <\/h4>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

The CSFB\/Tremont Investable Hedge Fund Index is down an estimated 0.34% net for the month of August 2004.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> The confirmed performance for July is down 0.17% net. <\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bdThe Emerging Markets sector had a positive month, up 2.07%, bringing the sector up 5.42% year-to-date.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> This gain was due to<\/span> a combination of positive macro news and a supportive technical backdrop,\u00c3\u00af\u00c2\u00bf\u00c2\u00bd said Mr. Schupp.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> \u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span>Despite a poor return for August and the fact that<\/span> the general consensus in the overall Fixed Income Arbitrage sector is that opportunities are poor at present–swap spread volatility has been low, curve shape distortions have been infrequent and basis trading opportunities have been few, the Fixed Income Arbitrage sector is still one of the strongest performers year-to-date.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> <\/font><\/font> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bdThe Global Macro sector reported the lowest return for the month, down 1.43%,\u00c3\u00af\u00c2\u00bf\u00c2\u00bd said Mr. Schulman<\/span>.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> \u00c3\u00af\u00c2\u00bf\u00c2\u00bdReturns from currency trading were generally flat to down for the month and despite wide dispersion among managers, some benefited from the weaker the rally in August, with 10-year Treasury bonds trading at four month lows.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span><\/font><\/font> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font><\/font><\/span> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span><\/font><\/font><\/span> <\/p>\n\n\n\n\n\n
\n

Category<\/span> <\/p>\n<\/td>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> Aug 2004<\/span> <\/p>\n<\/td>\n

\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span>July 2004<\/span> <\/p>\n<\/td>\n

\n

YTD 04<\/span> <\/p>\n<\/td>\n<\/tr>\n

\n

CSFB\/Tremont Investable<\/span><\/b> <\/p>\n

Hedge Fund Index<\/span><\/b> <\/p>\n<\/td>\n

\n

-0.34%<\/span><\/b> <\/p>\n<\/td>\n

\n

-0.17%<\/span><\/b> <\/p>\n

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/font> <\/p>\n<\/td>\n

\n

0.46%<\/span><\/b> <\/p>\n<\/td>\n<\/tr>\n

\n

\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

\u00c3\u00af\u00c2\u00bf\u00c2\u00bd NEW YORK, NY, September 15, 2004\u00c3\u00af\u00c2\u00bf\u00c2\u00bd — The CSFB\/Tremont Hedge Fund Index is up 0.14% for August 2004, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd \u00c3\u00af\u00c2\u00bf\u00c2\u00bd \u00c3\u00af\u00c2\u00bf\u00c2\u00bd\u00c3\u00af\u00c2\u00bf\u00c2\u00bdAugust was a volatile month in both […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3],"tags":[],"class_list":["post-2731","post","type-post","status-publish","format-standard","hentry","category-hedgeco-news"],"_links":{"self":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/2731","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/comments?post=2731"}],"version-history":[{"count":0,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/2731\/revisions"}],"wp:attachment":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/media?parent=2731"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/categories?post=2731"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/tags?post=2731"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}

Performance for the CSFB\/Tremont Investable Hedge Fund Index and the ten style-based sector indices is calculated monthly. Returns for the months of August, July and year-to-date 2004 for all categories are listed below and at<\/font> www.hedgeindex.com<\/font><\/a>.\u00c3\u00af\u00c2\u00bf\u00c2\u00bd<\/span> The returns shown are net of a 0.07% calculation fee.<\/font><\/font><\/span> <\/p>\n