Hedge Fund Index Up Again In May

Investors Offshore, London

19 June 2002

The CSFB/Tremont Hedge Fund Index is up 0.67% for May 2002, according to Art Mbanefo of Credit Suisse First Boston Tremont Index LLC.

"Hedge funds continue to deliver the benefits of capital preservation and diversification for accredited investors," said Mr. Mbanefo. "It's no wonder we are seeing continued interest in hedge funds as they carve out modest year-to-date gains against continued losses in major indices like the S&P which is -7.05% and the NASDAQ which is down double-digits at -17.16."

"The managed futures sector outpaced others in May returning 3.51%," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers. "Year-to-date, however, the top performing sector continues to be emerging markets - up 9.23%."

Second-best strategy in May was Fixed Income Arbitrage, up 1.44%, although at 5.44% growth it was edged out of second place in the year-to-date rankings by Global Macro with 5.54% growth.

Worst-performing strategy year-to-date is Managed Futures, which lost 2.75% as against the NASDAQ's abysmal - 17.16%.

The CSFB/Tremont Hedge Fund Index has returned 146.47% for the 101-month period since inception (January 1, 1994 through May 31, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 385 funds as of May 1, 2002, down from 390 funds as of April 1, 2002. Five funds were dropped, including Bayard Fund (Dollar), Rothschild Technology Partners LP, Equimetrics Fund Ltd, Chesapeake Select II Ltd, and Lipper Merger Arbitrage Fund LP. All except Equimetrics were dropped due to a failure to report performance. Equimetrics announced it would liquidate its assets.

The Index is constructed using the TASS database of more than 2,600 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but does not include funds of funds. In order to qualify for inclusion in the index selection universe, a fund must have US $10 million under management, a 12-month track record, and an audited financial statement. Index funds are selected using a formula based on assets under management that ensures the Index always represents at least 85% of total assets in each of nine strategy-based sectors in the selection universe. Once added, funds are not excluded until they liquidate or fail to meet the financial reporting requirements, in order to minimize survivorship bias. The Index is calculated on a monthly basis and adjusted on a going-forward basis for capitalization and return.

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