NEW YORK, NY, August 15, 2006 — The Credit Suisse/Tremont Hedge Fund Index is up 0.29% in July, according to Oliver Schupp, President of the Credit Suisse/TremontHedge Fund Index.
“The intensifying Middle East conflict, demand in China and concerns about the upcoming hurricane season in the U.S., contributed to avolatile market. This market environment benefited the Dedicated Short Bias managers who ended the month up 2.89% for the month of July,†said Oliver Schupp. “Despite increasingperformance volatility, markets rallied at the end of July as a sharp slowdown in gross domestic product growth gave investors cautious optimism that the Federal Reserve might stop lifting interestrates after two years of consecutive increases. As a result, Emerging Market managers experienced an end to the negative performance of the past couple months and posted positive returns of1.99% as emerging market economies continued to show solid growth.â€Â
“With eight out of the ten sector strategies posting positive results for the month of July, the Credit Suisse/Tremont Hedge Fund Index performed well despite the rocky to flat market returns atmonth-end. Global Marco managers in particular performed well at 1.36%, trimming their equity exposure after the sell-off in May,†said Robert I. Schulman, Chief Executive Officer of TremontGroup Holdings, Inc. “The Equity Market Neutral sector performed positively at 1.26% driven largely by earnings season and a continued return to fundamentals in the wake of the May equitymarket sell offs.â€Â
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub strategies is calculated monthly. July, June and year-to-date 2006 returns for all categories are listed below and atwww.hedgeindex.com.
| Category | July 2006 |
June 2006 |
YTD 06 |
| Credit Suisse/Tremont Hedge Fund Index |
0.29% |
-0.11% |
6.59% |
| Convertible Arbitrage | 0.79% | 0.35% | 8.33% |
| Dedicated Short Bias | 2.89% | 5.15% | 6.57% |
| Emerging Markets | 1.99% | -0.14% | 9.36% |
| Equity Market Neutral | 1.26% | 0.27% | 8.15% |
| Event Driven | 0.04% | 0.75% | 7.39% |
| Distressed | -0.09% | 0.76% | 7.22% |
| Event Driven Multi-Strategy | 0.11% | 0.78% | 7.76% |
| Risk Arbitrage | 0.46% | 0.20% | 4.05% |
| Fixed Income Arbitrage | 0.24% | 0.62% | 5.90% |
| Global Macro | 1.36% | 0.44% | 10.08% |
| Long/Short Equity | -0.05% | -1.01% | 5.15% |
| Managed Futures | -2.43% | -2.04% | -0.35% |
| Multi-Strategy | 0.19% | 0.00% | 7.35% |
| S&P 500 DRI Index* | 0.62% | 0.14% | 3.34% |
| FTSE All World Index* | 0.83% | 0.10% | 7.62% |
*Total Return Indices
The Credit Suisse/Tremont Hedge Fund Index value is 360.79 returning 260.79% for the 151-month period since inception (January 1, 1994 through July 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 435 funds as of July 31, 2006. The following funds were added to the Index: Avenue Europe, Brummer & Partners Avenir, Brummer& Partners Latitude, Brummer & Partners Lynx, Firebird Avrora Fund Ltd, Firebird Global Fund, First Quadrant Global Macro Fund Ltd, Greylock Global Opportunity Master Fund Ltd, HendersonGlobal Fixed Income Absolute Return Fund, Lansdowne Macro Fund Ltd, Man Barnegat Fund Ltd, Maple Leaf Funds, Pardus European Special Opportunities Fund Ltd, Russian Prosperity Fund and SectorMaritime Investments 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 includefund 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 financialstatements. 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 theselection 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 returnindex on a monthly basis, adjusted for asset in- and outflow, including a reselection according to the procedure outlined above on a quarterly basis.
Return for the Credit Suisse/Tremont Investable Hedge Fund Index
The Credit Suisse/Tremont Investable Hedge Fund Index is up an estimated 0.21% net for the month of July2006. The confirmed performance for June is down 0.10%.
Performance for the Credit Suisse/Tremont Investable Hedge Fund Index is calculated monthly. Returns for the months of July, June, and year-to-date 2006 are listed below and at www.hedgeindex.com. The return shown is net of a 0.07% calculation fee.
| Index | July 2006 | June 2006 | YTD 2006 |
| Credit Suisse/Tremont Investable Hedge Fund Index |
0.21% |
-0.10% |
4.96% |
| Sector Invest Convertible Arbitrage | 0.57% | 0.07% | 6.86% |
| Sector Invest Dedicated Short Bias | 2.96% | 3.08% | 4.53% |
| Sector Invest Emerging Markets | 1.34% | -0.23% | 12.99% |
| Sector Invest Equity Market Neutral | 0.88% | 0.07% | 5.14% |
| Sector Invest Event Driven | 0.42% | 0.64% | 7.15% |
| Sector Invest Fixed Income Arbitrage | -0.22% | 0.88% | 4.12% |
| Sector Invest Global Macro | -0.32% | -0.53% | 1.68% |
| Sector Invest Long/Short Equity | -0.18% | -1.00% | 3.63% |
| Sector Invest Managed Futures | -2.72% | -1.98% | -0.96% |
| Sector Invest Multi-Strategy | 0.11% | 0.33% | 6.95% |
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 thewebsite 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 productscreated 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 $435 billion in assets managed by 435funds as of July 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. TheCredit 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 ineach 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.
Tremont Group Holdings, Inc. is a leading hedge fund asset management firm, whichprovides and manages investment products and customized portfolios, and offers related services, on a worldwide basis. Currently managing approximately $9 billion in assets, Tremont maintains officesin Rye, New York; London; Toronto and Hong Kong.
As one of the world’s leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. CreditSuisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients inSwitzerland. Credit Suisse is active in over 50 countries and employs approximately 62,500 people. Credit Suisse’s parent company, Credit Suisse Group, is a leading global financial services companyheadquartered in Zurich. Credit Suisse Group’s registered shares (CSGN) are listed in Switzerland and, in the form of American Depositary Shares (CSR), in New York. Further information about CreditSuisse can be found at www.credit-suisse.com.
In its asset management business, Credit Suisse offers products across the full spectrum of investment classes, ranging from equities, fixed income and multiple-asset class products, to alternativeinvestments such as real estate, hedge funds, private equity and volatility management. Credit Suisse’s asset management business manages portfolios, mutual funds, and other investment vehicles for abroad spectrum of clients ranging from governments, institutions and corporations to private individuals. With offices focused on asset management in 18 countries, Credit Suisse’s assetmanagement business is operated as a globally integrated network to deliver the bank’s best investment ideas and capabilities to clients around the world.
The asset management business of Credit Suisse is comprised of a number of legal entities around the world that are subject to distinct regulatory requirements; certain asset management products andservices may not be available in all jurisdictions or to all client types.
