Tremont Hedge Fund Index Down In July

Investors Offshore, New York

20 August 2002

The CSFB/Tremont Hedge Fund Index is down -1.35% for July 2002, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.

"Hedge funds posted mixed results in July," said Mr. Schupp. "Some strategies enjoyed excellent performance while others languished, however, on the whole, hedge funds continue to protect diversified portfolios from the very steep declines we have seen this year. With the major global indices down double digits, the -0.03% year-to-date decline in hedge fund performance pales by comparison."

"For the third consecutive month, managed futures funds, posting 6.12% gains in July, outperformed all other style-based strategies. Up more than 12% for the year, this performance demonstrates the importance of diversification within a hedge fund portfolio," said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers.

Next best performing category for the month was Dedicated Short Bias, up 4.41%, while the worst category was Event-Driven, down 3.1%. Best performer for the year so far is Dedicated Short Bias, up 14.1%, followed by Managed Futures.

The Dow is down 12.8%, year-to-date, and Nasdaq is down 31.9%.

The CSFB/Tremont Hedge Fund Index July NAV is 241.10, returning 141.10% for the 103-month period since inception (January 1, 1994 through July 31, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 391 funds as of July 1, 2002, up from 384 as of May 1, 2002. Nine funds were added, including EGM-EEGO LP, Value Partners "A" Fund, New Providence Global Value Fund, Sandler Communications Offshore Fund Inc, Strong Special Investment LP, Sagamore Hill Partners LP, VR Distressed Assets Fund Ltd, Lion Global Opportunity Fund, and Morley Alternative Investment Strategy Fund PCC Ltd. Two Funds were dropped including ACM US Growth Strategies Fund (Class I) and ACM US Growth Strategies Fund (Class N), both of which stopped reporting.

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.

The CSFB/Tremont Hedge Fund Index, the only asset-weighted hedge fund benchmark, was designed to establish a standard for tracking and comparing hedge fund performance against other major asset classes, like the S&P 500, on a global basis. Its web site provides interactive tools that allow users to manipulate the information and customize their research.

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