CFSB/Tremont Hedge Fund Index Up 0.9% In August

by Carla Johnson, Investors Offshore, London

27 September 2001

After a one week delay caused by the terrorist outrages in New York, all funds in the CSFB/Tremont Hedge Fund Index have now reported for the month of August, and the Index stands at 237.99, that's up 0.92% for the month and up 3.04% for the year to date. The S & P 500 is down 4.95% for the months and down 16.75% for the year.

Best performing sector for the month was Dedicated Short Bias at plus 3.67%, followed by Managed Futures at plus 2.52%, while worst performer was Emerging Markets at minus 1.08%. Year to date, the best performer is Global Macro at plus 13.28% followed by Convertible Arbitrage at plus 11.34%, while worst performer is Long/Short Equity at minus 3.60%.

'Hedge funds continue to provide important diversification benefits as investors world-wide struggle with very volatile and difficult markets,' said Nicola Meaden, Director of Tremont Advisers.

The CSFB/Tremont Hedge Fund Index returned 137.9% for the 92-month period since inception (January 1, 1994 through August 30, 2001).

The CSFB/Tremont Hedge Fund Index is comprised of 375 funds as of July 1, 2001, up from 339 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.

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