Tremont Hedge Fund Index Just Positive For September

Investors Offshore, London

17 October 2002

The CSFB/Tremont Hedge Fund Index is up 0.08% for September 2002, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.

“Hedge funds held tight to slightly positive returns and continued to protect diversified portfolios against severe losses during September,” said Mr. Schupp. “Year-to-date returns are slim at 0.90%, but much coveted when compared with the double-digit losses that continue to drag down long-only investments.”

“Dedicated short bias funds enjoyed strong performance, posting 8.10% returns while most strategies languished during a brutal month in the markets,” said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers. “Year-to-date, the CSFB/Tremont Dedicated Short Bias Index is on top, up 21.37%”

Second-best performing strategy was Managed Futures, up 4.1% for the month, and 20.63% year-to-date.

The CSFB/Tremont Hedge Fund Index August NAV is 243.33, returning 143.33% for the 105-month period since inception (January 1, 1994 through September 30, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 383 funds as of September 1, 2002, down from 388 as of August 1, 2002. The 5 funds dropped include Harch International Ltd, due to reporting rules; Hilspen Capital Partners LP, which is no longer reporting; JFL Partners I LP, which liquidated; Magus European Fund (EURO), which liquidated; and Poseidon Offshore Partners LP, due to reporting rules.

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.

Tremont Advisers, Inc is one of the leading global alternative investment management firms, whose business lines include research and investment management services, sale and distribution of its proprietary investment products, and database sales and information services. Tremont advises on approximately $9 billion in alternative investment assets, including more than $1billion in its proprietary funds. Through its information and market intelligence unit, TASS Research, the firm provides data on the performance of more than 2,600 alternative investment managers and funds. Tremont, headquartered in Rye, New York with offices in Toronto, Bermuda and London, is a wholly owned subsidiary of Oppenheimer Acquisition Corp, the parent company of Oppenheimer Funds, Inc., one of the nation’s most respected asset managers.

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