CSFB/Tremont Hedge Fund Index Down Nearly 1% In June

Investors Offshore, London

17 July 2002

The CSFB/Tremont Hedge Fund Index is down -0.84% for June 2002, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.

"Although there was a difficult trading environment during June, hedge funds lost only a fraction of what was lost in the long-only markets," said Mr. Schupp. "Hedge funds continue to provide important downside protection to diversified portfolios, and to preserve capital for accredited investors, while widely followed indices worldwide continue to erode investment value," he added.

"Managed futures funds enjoyed strong performance for the second month in a row, ending the month up 8.63%," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers.

Performance for the CSFB/Tremont Hedge Fund Index and the nine style-based sector indices is calculated monthly. Second-best trading strategy in June was Dedicated Short Bias, up 7.63%, while the worst performer was Emerging Markets, down 3.75%. This compares with the Dow, down 6.87% and the NASDAQ, down 9.44%.

Year to date, the winning strategy has been Dedicated Short Bias, up 9.26%, followed by Global Macro, up 7.04%, while the worst performer has been Convertible Arbitrage, down just 1.0%. The Dow is down 7.77%, year to date.

The CSFB/Tremont Hedge Fund Index June NAV is 244.39, returning 144.39% for the 102-month period since inception (January 1, 1994 through June 30, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 384 funds as of May 1, 2002, down from 390 funds as of April 1, 2002. The Index is constructed using the TASS database of more than 2,600 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 US $10 million under management, a 12-month track record, and an audited financial statement.

Index funds are selected using a formula based on assets under management that ensures the Index always represents at least 85% of total assets in each of nine strategy-based sectors in the selection universe. Once added, funds are not excluded until they liquidate or fail to meet the financial reporting requirements, in order to minimize survivorship bias. The Index is calculated on a monthly basis and adjusted on a going-forward basis for capitalization and return.

Recommended