NEW YORK, NY — The CSFB/Tremont Hedge Fund Index is down 0.23% for May 2004, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.
�Exogenous factors continue to drive the overall market conditions – fears of interest rate hikes, terrorist attacks, rising oil prices and a slowdown in China,� said Mr. Schupp.
�The dedicated short bias managers were the strongest performers again for the month, despite a rebound at the end of the month that resulted in slightly higher U.S. equity prices,� said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc. Performance for the CSFB/Tremont Hedge Fund Index and the ten style-based sector indices is calculated monthly. May, April and year-to-date 2004 returns for all categories are listed at www.hedgeindex.com.
The CSFB/Tremont Hedge Fund Index value is 294.29, returning 194.29% for the 125-month period since inception (January 1, 1994 through May 31, 2004).
For additional current and historical data including more comparisons with other widely followed global indices, visit the CSFB/Tremont Hedge Fund Index web site at www.hedgeindex.com.
The CSFB/Tremont Hedge Fund Index is comprised of 425 funds as of May 1, 2004.
There were two drops and no adds last month. Centennier and Scinto Financial Services were dropped from the Index as they are no longer reporting. In addition, there were six technical drops last month as a result of the aggregation of various share classes of the same fund into a composite vehicle.
The Index is constructed using the TASS and CSFB/Tremont databases of more than 3,000 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 $10 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. Once added, funds are not excluded until they liquidate or fail to meet the reporting requirements, in order to minimize survivorship bias. 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.
Returns for the CSFB/Tremont Investable Index
The CSFB/Tremont Investable Hedge Fund Index is down an estimated 0.38% for the month of May 2004. The confirmed performance for April is down 1.01%.
�Fixed income arbitrage managers were generally successful this month with directionally oriented managers continuing to profit from short bond market trades and inter-country spreads primarily with US and European government bonds,� said Mr. Schupp. �This sector is leading year-to-date, up 2.88%.�
�Most of the major markets in May continued to lack direction in the short to intermediate-term, with equity, bond, currency and many commodities markets prone to reversals and high volatility,� said Mr. Schulman. �Convertible arbitrage managers, in particular, were hurt this month by premium contractions.� Performance for the CSFB/Tremont Investable Hedge Fund Index and the ten style-based sector indices is calculated monthly. Returns for the months of May, April and year-to-date 2004 for all categories are listed at www.hedgeindex.com.
The CSFB/Tremont Investable Hedge Fund Index was launched with 60 funds across 10 style-based sectors. The Investable Index was set at 100 on August 1, 2003 with aggregate assets under management representing approximately US$55 billion, making it the industry�s largest investable index.
The funds currently included in the index are available on the web site at www.hedgeindex.com.
The CSFB/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 CSFB/Tremont Investable Hedge Fund Index is based on the broad CSFB/Tremont Hedge Fund Index, which is the largest hedge fund index with $266 billion in assets managed by 425 funds as of May 1, 2004.
The funds in the CSFB/Tremont Investable Index, selected from the funds included in the main index, generally comprise the six 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.hedgefundindex.com and include the following criteria:
� Funds are selected from the CSFB/Tremont Hedge Fund Index by an asset-based formula
� The funds generally represent the six largest eligible �open� funds in each of the ten sectors
� The funds are determined by application of the construction rules
The CSFB/Tremont Investable Hedge Fund Index will be calculated monthly and re-balanced semi-annually. Additional features of the Investable Index include:
� Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters
� Member funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion
� Investable index eliminates dependence on manager skill
� A broad suite of investment products, soon to be announced
Sector Weights Added To Next Generation Interactive Website CSFB/Tremont is pleased to announce that charts showing the style-based sector weights of the CSFB/Tremont Hedge Fund Index and the CSFB/Tremont Investable Hedge Fund Index have now been added to the website, www.hedgeindex.com.
These new easy-to-read charts provide valuable information about asset allocation in the hedge fund world. The interactive website for the CSFB/Tremont Hedge Fund Index was incepted in January 1994 and re-vamped to provide improved functionality and expanded analytical features in May of 2001. To access the charts, click on the �Performance� link in the menu of available options.
