CreditSuisse/Tremont Hedge Index Goes Sideways In September

by Carla Johnson, Investors Offshore, London

31 October 2006

The Credit Suisse/Tremont Hedge Fund Index was up a bare 0.13% in September, according to Oliver Schupp, President of the Credit Suisse Tremont, LLC. The Credit Suisse/Tremont Hedge Fund Index is comprised of 432 funds as of September 30, 2006.

“The Fed’s decision to keep interest rates stable, due to an expected slow down in US economic growth and successive easing of inflation pressures gave most investors confidence that further interest rate hikes remain unlikely. With this sentiment, hedge funds ended September on a mixed note”, said Oliver Schupp. “As the markets essentially overlooked concerns regarding the US housing sector and negative geopolitical developments, Event Driven managers profited from the positive equity market trend in developed economies ending the month up 0.60%. Dedicated Short Bias managers were inversely affected by positive global equity trends and ended the month down, 3.11% for the month of September.

“As global financial markets were particularly sensitive to growth and inflation news in September, volatility in the global equity markets remained muted for the month and yet strong technical factors led to the richening of overall convertible valuations against a stable credit backdrop for Convertible Arbitrage Managers who ended the month up, 1.15%”, said Robert I. Schulman, Chief Executive Officer of Tremont Group Holdings, Inc. “Managed Futures managers generally experienced a loss on the back of exposure to declining energy prices and ended the month down 1.15%.”

The Credit Suisse/Tremont Hedge Fund Index value is 364.34 returning 264.34% for the 153-month period since inception (January 1, 1994 through September 30, 2006).

The Index is constructed using the Credit Suisse/Tremont database of more than 4,500 hedge funds. It includes both open and closed funds located in the US and offshore, but does not include fund of funds. In order to qualify for inclusion in the index selection universe, a fund must have a minimum of US $50 million under management, a 12-month track record, and audited financial statements. Index funds are selected using a formula based on assets under management. That ensures the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe. In order to minimize survivorship bias funds are not excluded until they liquidate or fail to meet the reporting requirements. The Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflow, including a reselection according to the procedure outlined above on a quarterly basis.

The Credit Suisse/Tremont Investable Hedge Fund Index is down an estimated 0.19% net for the month of September 2006. The confirmed performance for August is up 0.54%.

The Credit Suisse/Tremont Investable Hedge Fund Index is designed to give investors broad exposure to hedge funds as an asset class. It fulfills investor demand for index-linked products created to reduce dependency on fund manager selection and fund concentration risk.

The funds in the Credit Suisse/Tremont Investable Index or the Credit Suisse/Tremont Sector Invest Indices are selected from the funds included in the Credit Suisse/Tremont Hedge Fund Index by an asset-based formula. The funds generally represent the largest eligible “open” funds in each of the ten sectors.

Credit Suisse Tremont Index, LLC is the joint venture company of Credit Suisse Index Co., Inc., a subsidiary of Credit Suisse Co., Inc., and Tremont Group Holdings, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.

Tremont Group Holdings, Inc. is a leading hedge fund asset management firm, which provides and manages investment products and customized portfolios, and offers related services, on a worldwide basis. Currently managing approximately $8 billion in assets, Tremont maintains offices in Rye, New York; London; Toronto and Hong Kong.

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