CSFB/Tremont Index Announces Positive Monthly Return

by Phillip Morton, Investors Offshore.com

17 November 2004

CSFB/Tremont has announced a 1.28% rise in its benchmark hedge fund index for the month of October, driven by movements in the futures and foreign exchange markets, the firm announced this week.

"Benefiting largely from the FX market through short positions on the US Dollar, the Managed Futures sector reported a positive return of 4.82%," observed Oliver Schupp, President of CSFB/Tremont Index.

Mr Schupp noted that most gains were made by trend following systems which tend to dominate this particular strategy.

“The actively traded currencies had generally been trading in a relatively confined range for the past four to six months and finally broke out of the range strongly in October,” he observed.

Another notable performer within the index last month was Emerging Markets, which gained 2.4%, taking the year to date returns for this strategy to just over 8%.

Funds employing Event Driven strategies were also some of the better performers in October, particularly in the Distressed sub-strategy, which gained 1.86%, taking its year to date return to 10.48%.

Funds employing Short Biased strategies fared less well. This sector declined 1.78% last month, although remains up 5.11% year to date.

The CSFB/Tremont Hedge Fund Index is calculated based on data from approximately 3,000 hedge funds based in the US and offshore.

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