The Credit Suisse/Tremont Hedge Fund Index is down 0.11% in June. “Equity markets across the globe witnessed an increase in intra-month volatility as May’s losses spilled into the beginning of June and investors continued to reduce risk across global markets and asset classes,” says Oliver Schupp, President of the Credit Suisse/Tremont Hedge Fund Index. “Most equity indices recovered from mid-month lows after expectations of further Fed tightening eased. Long short equity managers were affected by their general long exposure to the equity markets with a negative performance of 1.01% for the month of June, while dedicated short bias managers benefited from the negative market trends in the first half of the month ending the month up by 5.02%.
“Fixed income managers returned mixed performance,” says Robert I. Schulman, CEO of Tremont Group Holdings, Inc. “For the first half of the month, managers following a market-neutral strategy were able to profit from the intra-month volatility, while funds following a directional strategy approach suffered from the negative performance, returning an overall performance of 0.62% for June. Managed futures managers were down by 2.04% for the month, as losses were a result of the reversal in commodity related trends and the downward performing markets.”
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. Its value is 359.76 returning 259.76% for the 150-month period since inception. It is comprised of 420 funds as of June 30, 2006.The Index is constructed using the Credit Suisse/Tremont database of more than 4,500 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 a minimum of US $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. That ensures 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 Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflow, including a reselection according to the procedure outlined above on a quarterly basis.
Meanwhile, the Credit Suisse/Tremont Investable Hedge Fund Index is down an estimated 0.21% net for the month of June 2006. The confirmed performance for May is down 0.80%. Performance is calculated monthly. The return shown is net of a 0.07% calculation fee. The Index was launched with 60 funds and was set at 100 on August 1, 2003. It is designed to give investors broad exposure to hedge funds as an asset class. It fulfills investor demand for index-linked products created to reduce dependency on fund manager selection and fund concentration risk. Itis based on the broad Credit Suisse/Tremont Hedge Fund Index.