Tremont Hedge Fund Index Up 0.85% In August

Investors Offshore, London

18 September 2002

The CSFB/Tremont Hedge Fund Index is up 0.85% for August 2002, , according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.

“Hedge funds continued to provide protection for diversified portfolios during August,” said Mr. Schupp. “Year-to-date performance illustrates how valuable an allocation to a diversified hedge fund portfolio can be. While every major global index is down between –12.85% and –32.59%, the CSFB/Tremont Hedge Fund Index is up 0.82% for the year."

“Managed futures funds continued to provide important diversification for alternative investment portfolios, outperforming all style-based strategies for the fourth consecutive month,” said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers. The CSFB/Tremont Managed Futures Index is up 3.36% for August and 15.87% year-to-date.

Next best performing category for the month was Emerging Markets, up 1.26%, while the worst category was Dedicated Short Bias, down 1.58%. Best performer for the year so far is Managed Futures, up 15.87, taking over from Dedicated Short Bias, now in second place with up 12.27%.

The Dow is down 13.55%, year-to-date, and Nasdaq is down 32.59%.

The CSFB/Tremont Hedge Fund Index August NAV is 243.14, returning 143.14% for the 104-month period since inception (January 1, 1994 through August 31, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 388 funds as of August 1, 2002, down from 391 as of July 1, 2002. Three funds were dropped, including Rudman Partners LP and HCM High Yield Opportunity Fund LP, both due to reporting rules, and Alliance Alpha Partners LP, which is no longer 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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