CSFB/Tremont Hedge Fund Index Up 4.4% In 2001

by Carla Johnson, Investors Offshore, London

17 January 2002

The CSFB/Tremont Hedge Fund Index is up 1.2% for December 2001, according to Robert S. Sloan, Chief Executive Officer of Credit Suisse First Boston Tremont Index LLC. The Index is up 4.4% for the year 2001. For the second consecutive month, emerging markets funds outperformed other sectors with returns of 4.8%, but the story of the year is the Global Macro Index, up 18.4%. According to Mr Sloan, hedge funds delivered the desired diversification through a moderate correlation of 0.45 versus the S&P 500 and a volatility of around 9% in 2001.

“During December, driven by opportunistic strategies such as global macro and emerging markets, investors benefited from a 1.2% return. More importantly, hedge funds delivered the desired diversification through a moderate correlation of 0.45 versus the S&P 500 and a volatility of around 9% in 2001,” said Mr. Sloan. The CSFB/Tremont Hedge Fund Index finished the year 2001 up 4.4%, surpassing all global indices by a healthy margin while providing the power of diversification.”
“For the second consecutive month, emerging markets funds outperformed other sectors with returns of 4.8%,” added Robert I. Schulman, President of Tremont Advisers. “But the story of the year is the Global Macro Index, up 18.4%. This broadly diversified sector redeemed itself during the year 2001.”

Performance for the CSFB/Tremont Hedge Fund Index and the nine style-based sector indices are calculated monthly. The CSFB/Tremont Hedge Fund Index has returned 141.17% for the 96-month period since inception (January 1, 1994 through December 31, 2001).

After Emerging Markets, the next best sector in December was Global macro, up 2.5%, followed by Managed Futures on 2.1%. Year to date, after Global Macro came Convertible Arbitrage with 14.6% growth and event-driven with 11.5%.

Comparisons show the Dow down 7.1% year to date, the MSCI EAFE Index down 22.6%, the S & P 500 down 13.0% and the Nasdaq down 21.1%.

The CSFB/Tremont Hedge Fund Index is comprised of 369 funds as of December 1, 2001, down from 370 funds as of November 1, 2001. Fulcrum Fund LP (B) is no longer reporting performance.

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.

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