Credit Suisse Hedge Fund Index Up 0.78% In June

by Carla Johnson, Investors Offshore.com, London

24 July 2007

The Credit Suisse/Tremont Hedge Fund Index rose 0.78% in June, according to Oliver Schupp, President of the Credit Suisse Index Co., Inc. “Equity markets were impacted this month amid sharply rising yields since the beginning of June and speculation that subprime mortgages will continue their decline,” he said.

“Similarly, a rise in oil prices to a 10-month high corresponded with a slowdown of consumer spending, leading U.S. Federal Reserve policy makers to forecast the economy will grow at a "moderate" pace in the second half of the year. As a result, Chairman Bernanke left interest rates unchanged and noted that inflation is the "predominate" risk facing the economy pending more evidence that a deceleration could be sustained. Managed Futures, in particular, was up 3.03% in June as managers generally profited from fixed income and currency plays, while commodities contributed positively to the sector’s performance.”

Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. The Index is up 8.70% year-to-date, beating the S&P 500 DRI Index, which is up 6.96%, but not the Dow Jones World Index, which is up 9.10%.

Apart from Managed Futures, best performing sectors in June were Dedicated Short Bias, up 1.20%, Emerging Markets, up 1.83% and Global Macro, up 1.22%. Year-to-date, the best performing sectors are Event-Driven Multi Strategy, up 12.42% and Event-Driven, up 10.80%.

The Credit Suisse/Tremont Hedge Fund Index value is 418.95 returning 318.95% for the 162-month period since inception (January 1, 1994 through June 30, 2007).

The Index is constructed using the Credit Suisse/Tremont database of more than 5,000 hedge funds. It includes both open and closed funds located in the U.S. 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.

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