By Angela McDaniels
Tacoma, Wash., Oct. 8 - Credit Suisse said that early estimates indicate that the Credit Suisse/Tremont Hedge Fund index will record a gain of 2.67% for September.
The figure is based on 65% of assets reporting, according to a company news release.
Long/short equity and emerging markets managers experienced another positive month, Credit Suisse said, driven by equity market gains in September.
The company said market sentiment was bolstered by several positive macro indicators, such as an increase in the Global Purchasing Managers' Index that signaled expanding manufacturing output and pointed to a continuing stabilization of global economic activity. Inflation continued its moderate downward trend in the United States and in the Organization for Economic Co-operation and Development countries, while central banks overall maintained low interest rates in the face of a weak recovery, Credit Suisse noted.
Many equity indexes finished the month in positive territory, although the company said there were some late market corrections following reports of worse-than-expected U.S. home sales.
A number of global macro quantitative managers had a positive month, and Credit Suisse said this was driven by long currency trades in the yen and euro and decreased foreign-exchange volatility. Yield curves did not move significantly, the company said, and therefore front-end positions had relatively little impact on performance.
Credit-oriented managers in the fixed-income arbitrage and event-driven sectors had a positive month. Credit Suisse said this performance came from mortgage-related bonds, corporate bonds - especially financials - swap spread trades and opportunities in government bond auctions.
The company said managed futures also had another positive month, giving the strategy its third positive month for the year, as many trend followers' models gained traction.
Equity market-neutral managers were also up in September. The value factor contributed positively to performance while factors such as momentum detracted from performance, Credit Suisse said.
The index is published by Credit Suisse Tremont Index LLC, which is a New York-based joint venture company of Credit Suisse Index Co., Inc. and Tremont Group Holdings, Inc.
Strategy Estimates
| Index/sector | September | August | Year to date
|
| CS/Tremont Hedge Fund index | 2.67% | 1.53% | 14.56%
|
| Convertible Arbitrage | 3.33% | 3.39% | 40.11%
|
| Dedicated Short Bias | Negative 5.53% | Negative 1.69% | Negative 23.17%
|
| Emerging Markets | 4.48% | 1.06% | 24.11%
|
| Equity Market Neutral | 1.04% | 1.31% | 5.34%
|
| Event Driven | 2.04% | 2.17% | 13.77%
|
| Distressed | 2.44% | 2.12% | 13.73%
|
| Event Driven Multi-Strategy | 1.85% | 2.23% | 13.84%
|
| Risk Arbitrage | 0.61% | 0.95% | 9.20%
|
| Fixed Income Arbitrage | 2.94% | 2.38% | 22.16%
|
| Global Macro | 2.71% | 0.86% | 9.02%
|
| Long/Short Equity | 3.35% | 1.42% | 16.80%
|
| Managed Futures | 3.23% | 0.92% | Negative 3.98%
|
| Multi-Strategy | 2.21% | 1.43% | 19.90
|
| MSCI World | 3.81% | 3.91% | 22.47%
|
| Barclays Capital Aggregate Bond index | 2.14% | 1.76% | 7.85%
|
| DJ-UBS Total Return Commodities index | 1.57% | Negative 0.58% | 9.06%
|
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