Credit Suisse/Tremont Hedge Fund Index Is Up 13.86% Year End

The Credit Suisse/Tremont Hedge Fund Index is up 1.83% in December, finishing the year with a total return of 13.86%, according to Oliver Schupp, President of the Credit Suisse TremontIndex, LLC. 

“A stronger than expected year was experienced as a favorable market environment drove the majority of hedge fund strategies to produce positive end of year results.  Record highs in global markets and mergers and acquisition activity along with a stronger than expected earnings season, a pause in the continual increasing of interest rates by the Federal Reserve, high energy prices and volatility fluctuations were positive contributors to hedge fund performance for 2006,” said Oliver Schupp. “Global equity markets rallied in December as investors gained confidence that the global economy will continue to grow in 2007 in part from indications that the housing market would stabilize and from the US dollar gaining slightly against the EUR and Yen.  Overall, this favorable market environment bolstered performance and the majority of hedge fund sectors ended December on a positive note with the Managed Futures sector as the best performing sector in December, up 4.05% and the Emerging Markets sector as the best performing sector for 2006 up 20.49%.”

Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. December, November and year-to-date 2006 returns for all categories are listed below and at www.hedgeindex.com.

The Credit Suisse/Tremont Hedge Fund Index value is 385.41 returning 285.41% for the 156-month period since inception (January 1, 1994 through December 31, 2006).

For additional current and historical data including more comparisons with other widely followed global indices, visit the Credit Suisse/Tremont Hedge Fund Index web site at www.hedgeindex.com.

The Credit Suisse/Tremont Hedge Fund Index is comprised of 433 funds as of December 31, 2006.  The following funds no longer report to the Credit Suisse/Tremont Hedge Fund Index:  Watch Hill Strategic, Penta Master Fund Ltd and Brummer & Partners Latitude.  The following funds have changed names from:  Mellon HBV Master Global Event Driven Fund LP to Fursa Master Global Event Driven Fund LP, and Thames River Nevsky Fund Ltd to Nevsky Fund Ltd. 

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 fund 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.

The Credit Suisse/Tremont Investable Hedge Fund Index was launched with 60 funds and was set at a value of 100 on August 1, 2003. The funds currently included in the index are available on the website at www.hedgeindex.com. 

The Credit Suisse/Tremont Investable Hedge Fund Index 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. 

The Credit Suisse/Tremont Investable Hedge Fund Index is based on the broad Credit Suisse/Tremont Hedge Fund Index, which is the largest hedge fund index with approximately $477 billion in assets managed by 433 funds as of December 31, 2006.  

The funds in the Credit Suisse/Tremont Investable Index or the Credit Suisse/Tremont Sector Invest Indices are selected from the funds included in the Credit Suisse/Tremont Hedge Fund Index. The Credit Suisse/Tremont Investable Hedge Fund Index and the Credit Suisse/Tremont Sector Invest Index comprise the largest funds that are open to investment and meet certain liquidity conditions in each of the 10 style-based sectors. The fund selection rules can be found on www.hedgeindex.com and include the following criteria

• The funds are selected from the Credit Suisse/Tremont Hedge Fund Index by an asset-based formula
• The funds generally represent the largest eligible “open” funds in each of the ten sectors
• The funds are determined by application of the construction rules
• Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion

Additional features of the Credit Suisse/Tremont Index series include:

• Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters, Wall Street Journal Asia and Europe.
• A broad suite of index-linked investment products through Credit Suisse

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.  Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.