The widely watched CSFB/Tremont Hedge Fund Index is up 0.6% for June 2001, according to Robert S. Sloan, Chief Executive Officer of Credit Suisse First Boston Tremont Index LLC. "Hedge fund strategies continue to post positive gains and have outperformed all global indices by a wide margin year-to-date," said Mr. Sloan.
"The biggest event in June was the dramatic fall-off in volatility as measured by the Vix Index," added Nicola Meaden, Director of Tremont Advisers. "Volatility peaked in February and March at around 45 - then plummeted in June to 20! This had a major impact on a number of strategies as it was completely unexpected. Once again, diversification across strategies proves vital."
Performance for the CSFB/Tremont Hedge Fund Index and the nine style-driven sub-indices are calculated monthly. Best performing category in June was Emerging Markets, up 1.6%, followed by Event Driven and Global Macro, each on 1%, while the worst performer was Managed Futures, down 0.8%.
For the year to date, Global Macro comes out top with a rise of 11.4%, followed by Convertible Arbitrage on 8.5%; worst performer was Long/Short Equity, down 3.3%. Over the same period, the S & P 500 was down 7.3% and the Nasdaq down 12.6%.
The CSFB/Tremont Hedge Fund Index returned 135.9% for the 90-month period since inception (January 1, 1994 through June 30, 2001).
For additional current and historical data including more comparisons with other widely followed global indices, visit the web site at www.hedgeindex.com.
The CSFB/Tremont Hedge Fund Index is comprised of 339 funds as of April 30, 2001, up from 334 funds. The Index is reselected quarterly. The Index is constructed using a database of more than 2,600 hedge funds. It includes both U.S. 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 inclusion in the universe, a fund must have US $10 million under management and an audited financial statement. The Index is calculated on a monthly basis and adjusted for capitalization and return.
The CSFB/Tremont Hedge Fund Index, the only asset-weighted hedge fund benchmark, was designed to establish a standard for tracking and comparing hedge fund performance against other major asset classes, like the S&P 500, on a global basis. Its web site provides interactive tools that allow users to manipulate the information and customize their research.
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 Advisers, Inc. The company's management team includes from CSFB, Paul Calello, Managing Director, Robert S. Sloan, Managing Director, and Roland Lorenzo, Director, and from Tremont Advisers, Robert I. Schulman, President and Co-CEO, and Nicola Meaden, Managing Director. Credit Suisse First Boston Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
Tremont Advisers, Inc. (TMAV) is a diversified holding company which, through its subsidiaries, is engaged in three core businesses: advisory services, information & research, and investment products for the global alternative investment industry. Tremont holds leadership positions in each of its specialty areas and advises on approximately $6.5 billion in alternative investment assets. Through its London-based information and market intelligence unit, TASS Research, the firm provides data on the performance of more than 2,600 alternative investment managers and funds. Tremont manages in excess of $500 million in proprietary funds and has more than $100 million in insurance policies related to alternative investments.
Earlier this month, Tremont Advisers announced that it has reached an agreement to be acquired by Oppenheimer Acquisition Corp., the parent of OppenheimerFunds, Inc. The agreement, subject to shareholder and regulatory approval, is for Oppenheimer Acquisition Corp. to purchase all outstanding Tremont shares at $19 per share, subject to certain adjustments. The acquisition is expected to close early in the fourth quarter of 2001.
"The combination of Tremont Advisers' expertise in alternative investments with OppenheimerFunds' strength in distribution and product capabilities clearly marks a turning point in our business," said Sandra Manzke, Chairman and Co-CEO of Tremont Advisers. "Working together we have an unparalleled opportunity to tap the high-net-worth and institutional market and add a significant growth rate to an already rapidly growing business. We are very pleased to join forces with such a high-quality, client-focused organization which shares our vision for the future of alternative investing."
Under the terms of the agreement, Tremont will become an independent, wholly owned subsidiary of Oppenheimer Acquisition Corp, whose principal operating subsidiary, OppenheimerFunds, Inc. is a leader in worldwide traditional asset management with more than $120-billion in assets under management. The Tremont organization will continue to be led by Manzke and President and Co-CEO Robert Schulman.
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