The CSFB/Tremont Hedge Fund was up 0.26% in March this year, said President of Credit Suisse First Boston Tremont Index LLC Oliver Schupp in a recent press release.
"Markets were very volatile as the war in Iraq resulted in a reversal of the initial sell-off," said Mr. Schupp. “Seven out of ten hedge fund strategies provided positive returns despite a very difficult trading environment and increased concerns about the economic recovery. For the year, the Index is up 2.23% while most equity indices are down between 3 to 4% and markets generally continue to depreciate."
"Dedicated short bias funds turned in the top performance this month with returns of 1.23%," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers. "Year-to-date, managed futures funds continue to outperform all other strategies, up 6.00%, despite a very disappointing month of March, down –6.10%. Over the past 12 months, managed futures funds have returned 31.36%."
Performance for the CSFB/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly. March, February and year-to-date returns for all categories are listed below:
| Category | Mar 2003 | Feb 2003 | One Year |
| CSFB/Tremont/Index | 0.26% | 0.68% | 2.23% |
| Convertible Arbitrage | 0.95% | 1.39% | 5.44% |
| Dedicated Short Bias | 1.23% | -1.73% | -3.24% |
| Emerging Markets | 1.00% | 1.02% | 1.58% |
| Equity Market Neutral | 0.79% | -0.06% | 1.04% |
| Event Driven | 1.01% | 0.63% | 3.95% |
| Distressed | 1.19% | 0.89% | 5.28% |
| Event Driven Multi-Strategy | 1.05% | 0.63% | 3.69% |
| Risk Arbitrage | -0.27% | -0.71% | -1.37% |
| Fixed Income Arbitrage | 0.42% | 0.99% | 2.69% |
| Global Macro | -0.66% | 1.87% | 3.26% |
| Long/Short Equity | 0.43% | -0.21% | 0.14% |
| Managed Futures | -6.10% | 6.43% | 6.00% |
| Multi Strategy | 0.76% | 0.11% | 2.35% |
| Dow Jones Ind. Index | 1.43% | -1.73% | -3.64% |
| MSCI EAFE US DRI Index | -1.89% | -2.29% | -8.13% |
| MSCI World Index | -0.27% | -1.73% | -4.94% |
| S&P 500 DRI Index | 0.98% | -1.50% | -3.14% |
| Nasdaq | 0.27% | 1.26% | 0.42% |
As of March 31 2003, the CSFB/Tremont Funds Index consisted of 415 funds, two less than a year earlier due to the dropping of Regal Trading Partners Ltd and Steel Partners II LP which was removed from the risk arbitrage category and added to the multi-strategy event driven category.
The index is built using the TASS database of 2,600 funds and includes both open and closed funds located in the US and offshore, though not funds of funds. A fund must have at least $10 million under management, a twelve month track record and an audited performance statement to be considered for inclusion.
The CSFB/Tremont Hedge Fund Index, the largest hedge fund benchmark, is used as a tool to track hedge fund performance against other more common asset classes such as the S&P 500. Its web site provides users with interactive tools that allows manipulation of information and allows investors to tailor their own research to suit their needs.
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