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Tremont Hedge Fund Index Up 1.09% For November

Investors Offshore, London

17 December 2002


The CSFB/Tremont Hedge Fund Index is up 1.09% for November 2002, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC. “Eight weeks of rising stock markets helped the Index to gain over 1 percent in November, largely contributed by the equity oriented sectors,” said Mr. Schupp.

Mr. Schupp announced that the CSFB/Tremont Event Driven Index is now subdivided monthly into three (3) categories that identify the major investment styles employed by Event Driven hedge funds. The new subcategories are Distressed, Risk Arbitrage and Event Driven Multi-Strategy.

“There is a great deal of diversity among the strategies in the Event Driven sector,” said Mr. Schupp. “In order to account for that diversity and enhance the transparency, we decided to divide Event Driven into the three major areas of concentration. We believe that the subdivision of the Event Driven sector allows investors a better benchmark for comparison and return attribution.” Mr. Schupp added that CSFB/Tremont continues to provide the combined Event Driven performance values each month, representing a roll-up of the three newly defined subcategories, as well as the values for each new subcategory.

”The CSFB/Tremont Distressed Index outperformed all other sectors during November, up 3.91%, demonstrating the diversity in the Event Driven category,” said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers.

The CSFB/Tremont Hedge Fund Index November NAV is 245.89, returning 145.89% for the 107-month period since inception (January 1, 1994 through November 30, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 403 funds as of November 1, 2002, down from 406 as of October 1, 2002. The 3 funds dropped include Essex High Technology USA LP, Essex High Technology Ltd and Ridgeline Partners LP, all of which liquidated.

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.

Meanwhile, Tremont Investment Management announced that it will be greatly expanding its research coverage of Canadian-domiciled hedge funds. Essential to its research effort will be an extensive campaign to include more Canadian hedge funds in Tremont's TASS Database, which historically has seen very little representation from Canadian managers. "By expanding our coverage of the Canadian market, we expect to uncover a number of new and established hedge funds that may be suitable for our institutional fund of hedge fund programs worldwide," said Robert Parnell, President of Tremont Investment Management, Inc.


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