By Jennifer Chiou
New York, April 15 - Credit Suisse announced that the Credit Suisse/Tremont Hedge Fund index finished with a gain of 2.22% in March, compared with 0.68% in February.
"The [index finished] the first quarter of 2010 up 3.09%," Oliver Schupp, president of Credit Suisse Index Co., Inc., said in a company release.
"Nine out of 10 sectors posted positive performance for the month and top performing sectors included managed futures (4.25%), emerging markets (3.89%) and long/short equity (2.99%)," he added.
Schupp also noted that the gains in the managed futures space were largely due to positive performance among trend followers who generated profits across equity, commodity and currency markets.
Emerging markets and long/short equity managers capitalized on both global equity market rallies and an increase in investor appetite for risky assets, he said in the release.
"Conversely, dedicated short bias managers posted the weakest performance this month, down 6.61%," the president noted.
The broad index is constructed using the Credit Suisse/Tremont database of more than 5,000 hedge funds. It includes both open and closed funds based in the U.S. and offshore but does not include fund of funds. To be included in the index universe, a fund must have at least $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 10 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 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 | March | February | YTD
|
| Broad Index | 2.22% | 0.68% | 3.09%
|
| Convertible Arbitrage | 2.06% | 0.47% | 3.53%
|
| Dedicated Short Bias | -6.61% | -3.2% | -9.36%
|
| Emerging Markets | 3.89% | -0.45% | 2.63%
|
| Equity Market Neutral | 0.54% | -1.35% | -0.72%
|
| Event Driven | 2.85% | 0.44% | 4.76%
|
| Distressed | 2.64% | 0.29% | 5.02%
|
| Event Driven Multi-Strategy | 3.07% | 0.57% | 4.58%
|
| Risk Arbitrage | 0.69% | 0.3% | 1.4%
|
| Fixed Income Arbitrage | 1.44% | 0.07% | 3.57%
|
| Global Macro | 0.38% | 1.1% | 2.57%
|
| Long/Short Equity | 2.99% | 1.32% | 2.79%
|
| Managed Futures | 4.25% | 1.81% | 2.09%
|
| Multi-Strategy | 1.44% | 0.56% | 2.59%
|
| S&P 500 TRI Total Return index | 6.03% | 3.1% | 5.39%
|
| Dow Jones World Total Return index | 6.35% | 1.13% | 3.02%
|
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