Credit Suisse/Tremont Hedge Fund Index Inches Up

Oct 17 2006 | 7:51am ET

The Credit Suisse/Tremont Hedge Fund Index inched up 0.13% in September, bringing its year-to-date return to 7.64%. Convertible arbitrage was the biggest winner on the month, jumping 1.15% to hit 10.68% YTD. Emerging markets is also having a boffo year, in spite of declining 0.45% last month, at 10.42% YTD.

Dedicated short-bias, on the other hand, had an awful month, dropping 3.11% to cut its YTD return to 2.52%. Managed futures was the only other sub-strategy, among the 10 calculated, in the red last month, at -1.15%, and is the only one in the red YTD, down 0.13%.

“As global financial markets were particularly sensitive to growth and inflation news in September, volatility in the global equity markets remained muted for the month and yet strong technical factors led to the richening of overall convertible valuations against a stable credit background for convertible arbitrage managers,” said Tremont Group Holdings CEO Robert Schulman. “Managed futures managers generally experienced a loss on the back of exposure to declining energy prices and end the month down 1.15%.”

The CS/Tremont index is one of the few hedge fund indices currently leading the Standard & Poor’s 500 Index, which was up 7.01% through Sept. 30. But the Credit Suisse/Tremont Investable Hedge Fund Index isn’t so lucky.

The investable index dropped 0.19% last month, its YTD return at 5.39%. Five of its 10 sub-strategies were down on the month, none more so than dedicated short-bias, which tumbled 2.55% to drag YTD returns down to 0.72%. Global macro dropped 1.03% in September, putting it in negative territory YTD, -0.81%. And just like in the larger index, a 0.99% drop in emerging markets barely put a dent in that investable subsector’s YTD, which is at 13.13%.

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