Blue Chip Funds Suffer Slight Decline In Q3

Oct 29 2007 | 3:06pm ET

Subprime problems notwithstanding, the Credit Suisse/Tremont Blue Chip Investable Hedge Fund Index withstood the worst of the summer swoon. The Credit Suisse Index Co. said the index fell 0.94% during the third quarter, in spite of the fact that seven of 10 constituent strategies posted losses during the quarter.

The Blue Chip Index, with its 60 constituent funds, is up 5.41% year-to-date.

“Hedge fund managers experienced a challenging third quarter due to the subprime market crisis, which resulted in only three of 10 hedge fund strategies producing positive quarterly results,” CS Tremont President Oliver Schupp said, referring to emerging markets (up 4.43% in Q3), fixed-income arbitrage (1.86%) and dedicated short-bias (0.88%). “July and August proved to be difficult months due to falling global equity markets, increased volatility, and a flight to liquidity and quality in financial markets.”

Among the losers, managed futures funds took the brunt of the downturn, dropping 3.88% in the quarter. Event-driven was down 2.07% and convertible arbitrage 2.01%.

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