Final performance for the Dow Jones Credit Suisse Hedge Fund Index (“Broad Index”) is confirmed up 1.92% in October and 8.02% YTD
Oliver Schupp, President of Credit Suisse Index Co., Inc., said, “The Dow Jones Credit Suisse Hedge Fund Index rose 1.92% in October, with nine out of ten sectors posting positive performance for the month. Managed Futures was the top performing sector in October, finishing up 4.29% as trend followers capitalized on positive commodity market performance driven by the prospect of quantitative easing and concerns over limited sugar and wheat supplies. Meanwhile Long/Short Equity and Emerging Markets funds also posted gains of 2.00% and 2.21%, respectively, as equity markets continued to rally in October.”
Performance for the Broad Index and its ten sub-strategies is calculated monthly. October, September, and year-to-date performance numbers are listed below and are available at www.hedgeindex.com.
|Index||October 2010||September 2010||YTD|
|Dedicated Short Bias||-3.60%||-11.28%||-15.64%|
|Equity Market Neutral||0.93%||3.66%||-0.03%|
|Event Driven Multi-Strategy||2.17%||4.03%||9.10%|
|Fixed Income Arbitrage||1.10%||1.55%||11.00%|
|Dow Jones Industrial Average*||3.21%||7.85%||8.96%|
|Dow Jones World Index||3.52%||9.54%||6.50%|
|*Total Return Index|
The following funds were added to the Broad Index in October: Brummer & Partners Karakoram, Macquarie Asian Alpha Fund, Matterhorn Palymyra Fund, Athena UI Fund, PIMCO Unconstrained Bond Fund, 5:15 Partners, HSBC GIF – Global Macro, Brummer and Partners Manticore, GLG Pure Alpha (UCITS III) Fund.
The following funds are no longer reporting to the Broad Index: Plexus Fund Ltd., Lazard European Explorer Master Fund LP, Absolute Partners.
The Broad Index is constructed using the Credit Suisse database of more than 8,000 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but does not include fund of funds. In order to qualify for inclusion in the index selection universe, a fund must have a minimum of USD 50 million under management, a 12-month track record, and audited financial statements. Index funds are selected using a formula based on assets under management, which ensures that the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe. In order to minimize survivorship bias, funds are not excluded until they liquidate or fail to meet the reporting requirements. The Broad Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflows, including a reselection according to the procedure outlined above, on a quarterly basis.
The Dow Jones Credit Suisse family of hedge fund indexes includes four separate indexes:
1. The Dow Jones Credit Suisse Hedge Fund Index (formerly known as the Credit Suisse/Tremont Hedge Fund Index) is an asset-weighted benchmark that measures hedge fund performance and seeks to provide the most accurate representation of the hedge fund universe.
2. The Dow Jones Credit Suisse AllHedge Index (formerly known as the Credit Suisse/Tremont AllHedge Index) is an investable index comprised of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes weighted according to the sector weights of the Broad Index.
3. The Dow Jones Credit Suisse Blue Chip Hedge Fund Index (formerly known as the Credit Suisse/Tremont Investable Hedge Fund Index) is an investable index comprised of 60 of the largest funds across the ten style-based sectors in the Broad Index.
4. The Dow Jones Credit Suisse LEA Hedge Fund Index (formerly known as the Credit Suisse/Tremont LEA Hedge Fund Index) is an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).
In accordance with the Dow Jones Credit Suisse Blue Chip Hedge Fund Index Rules and the Dow Jones Credit Suisse AllHedge Strategy Index Rules, Credit Suisse Hedge Index LLC is publishing the following notice:
The following funds are in a Special Rebalancing Situation: Alexandra Global Investment Fund I Ltd., Bennelong Asia Pacific Multi Strategy Equity Master Fund Ltd., Canyon Value Realization Fund (Cayman) Ltd., Castlerigg International Limited, Centaur Classic Convertible Arbitrage Fund Ltd., Contrarian Fund I Offshore Ltd., Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd. – SPV Assets, Firebird Avrora Fund Ltd, GLG European Long Short Fund Ltd., GLG Market Neutral Fund Ltd., Global GT Ltd., Gramercy Offshore Fund (SPV) SPC, JANA Offshore Partners Ltd., Jayhawk China Fund (Cayman) Ltd., Longacre International Ltd., Owl Creek Overseas Fund Ltd., Ramius Multi-Strategy Fund Ltd., Renaissance Institutional Equities Fund International, L.P., Seneca Capital International, Ltd., Shepherd Select Asset Ltd., Thales International Fund Ltd., and WGTC Ltd.
About Dow Jones Indexes
Dow Jones Indexes (www.djindexes.com) is a leading full-service index provider that develops, maintains and licenses indexes for use as benchmarks and as the basis of investment products. Best-known for the Dow Jones Industrial Average, Dow Jones Indexes offers more than 130,000 equity indexes as well as fixed-income and alternative indexes, including measures of hedge funds, commodities and real estate. Dow Jones Indexes employs clear, unbiased and systematic methodologies that are fully integrated within index families. Dow Jones Indexes, is part of a joint venture company which is owned 90 percent by CME Group Inc. (www.cmegroup.com) and 10 percent by Dow Jones & Company (www.dowjones.com), a News Corporation company (Nasdaq: NWS, NWSA; ASX: NWS, NWSLV; www.newscorp.com).
Credit Suisse AG
Credit Suisse AG is one of the world’s leading financial services providers and is part of the Credit Suisse group of companies (referred to here as ‘Credit Suisse’). As an integrated bank, Credit Suisse offers clients its combined expertise in the areas of private banking, investment banking and asset management. Credit Suisse provides advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as to retail clients in Switzerland. Credit Suisse is headquartered in Zurich and operates in over 50 countries worldwide. The group employs approximately 50,500 people. The registered shares (CSGN) of Credit Suisse’s parent company, Credit Suisse Group AG, are listed in Switzerland and, in the form of American Depositary Shares (CS), in New York. Further information about Credit Suisse can be found at www.credit-suisse.com.
In its Asset Management business, Credit Suisse offers products across a broad spectrum of investment classes, including hedge funds, credit, index, real estate, commodities and private equity products, as well as multi-asset class solutions, which include equities and fixed income products. Credit Suisse’s Asset Management business manages portfolios, mutual funds and other investment vehicles for a broad spectrum of clients ranging from governments, institutions and corporations to private individuals. With offices focused on asset management in 19 countries, Credit Suisse’s Asset Management business is operated as a globally integrated network to deliver the bank’s best investment ideas and capabilities to clients around the world.
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Copyright © 2010, CREDIT SUISSE GROUP AG and/or its affiliates. All rights reserved.
Certain information contained in this document constitutes “Forward-Looking Statements” (including observations about markets and industry and regulatory trends as of the original date of this document), which can be identified by the use of forward-looking terminology such as “may”, “will”, “should”, “expect”, “anticipate”, “target”, “project”, “estimate”, “intend”, “continue” or “believe”, or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties beyond our control, actual events, results or performance may differ materially from those reflected or contemplated in such forward-looking statements. Readers are cautioned not to place undue reliance on such statements. Credit Suisse has no obligation to update any of the forward-looking statements in this document.
This document was produced by and the opinions expressed are those of Credit Suisse as of the date of writing and are subject to change without obligation to update. It has been prepared solely for information purposes and for the use of the recipient. It does not constitute an offer or an invitation by or on behalf of Credit Suisse to any person to buy or sell any security. Any reference to past performance is not a guide or indicator to future performance. The information and analysis contained in this publication have been compiled or arrived at from sources believed to be reliable but Credit Suisse does not make any representation as to their accuracy or completeness and does not accept liability for any loss arising from the use hereof.
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