Credit Suisse/Tremont Hedge Fund index loss widens to estimated 16.14% for year to date

By Angela McDaniels

Tacoma, Wash., Dec. 8 - Credit Suisse said early estimates indicate that the Credit Suisse/Tremont Hedge Fund index will finish November with a loss of roughly 0.71%, bringing its year-to-date return to negative 16.14%.

The figure is based on 69% of returns received, according to a company news release.

Credit Suisse said the overall hedge fund industry is expected to post modest losses in November, which the company considers welcome news after two of the lowest months of performance on record.

The company said continuing downward trends in U.S. Treasury yields, commodity and currency markets led to positive performances for the global macro and managed futures sectors and helped mitigate the losses from other sectors.

While several sectors capitalized on the month-end equities rally in which the S&P 500 index saw its largest weekly gain since 1974, the move does not appear to have been a main driver of performance due to its short duration, Credit Suisse said.

Managed futures was the best-performing sector in the index, finishing the month with an estimated gain of 3.21% and an estimated year-to-date gain of 15.59%. The company said three other sectors appear to be ending the month in positive territory, including dedicated short bias, equity market neutral and global macro.

Showing especially large estimated losses for the year to date were the MSCI World index with a negative 43.80% return, the convertible arbitrage sector with a negative 30.76% return and the emerging markets sector with a negative 29.90% return.

November highlights

The continued commodities bear market benefited the global macro and managed futures sectors as short positions in the commodities sector led to gains for the month, according to the release. Credit Suisse noted that oil prices dropped to below $50 a barrel from October highs and were down almost $100 a barrel from levels this summer.

Yields on 10-year Treasury bonds dropped to record lows, falling below 3% in November. The company said some analysts currently forecast a further decline in yields if the Federal Reserve lowers interest rates in December as expected.

Credit Suisse said that if Fed efforts to improve market conditions by providing liquidity for asset-backed securities through the Term Asset-Backed Securities Loan Facility are successful, then a possible investment shift from Treasuries to other securities could begin to create opportunities in the relative value sectors as well.

Strategy estimates are included in the table below. Final November results will be published Dec. 15.

Credit Suisse Tremont Index LLC is the joint venture company of Credit Suisse Index Co., Inc., a subsidiary of Credit Suisse Co., Inc., and Tremont Group Holdings, Inc.

Strategy estimates

Index/sector November Year to date

Credit Suisse/Tremont Hedge Fund index Negative 0.71% Negative 16.14%

Convertible arbitrage Negative 1.65% Negative 30.76%

Dedicated short bias 2.98% 16.77%

Emerging markets Negative 0.94% Negative 29.90%

Equity market neutral 0.85% 0.66%

Event Driven Negative 2.31% Negative 15.91%

Distressed Negative 5.24% Negative 18.61%

Event driven multi-strategy Negative 1.26% Negative 15.05%

Risk arbitrage Negative 0.32% Negative 5.07%

Fixed income arbitrage Negative 3.72% Negative 26.81%

Global macro 2.09% Negative 5.15%

Long/short equity Negative 1.27% Negative 20.48%

Managed futures 3.21% 15.59%

Multi-strategy Negative 2.56% Negative 20.77%

MSCI World Negative 6.72% Negative 43.80%

JPMorgan Government Bond index 5.63% 10.33%

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