Credit Suisse/Tremont Hedge Fund Index Up In Dec.

Jan 12 2009 | 10:49am ET

Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index will finish up approximately 0.3% in December.

Investment activity in most hedge fund strategies was relatively quiet throughout the month as many managers maintained minimal risk exposures, according to Credit Suisse/Tremont. Ongoing deleveraging in 2008 by funds and investors resulted in an uncommitted pool of $9 trillion in cash that is waiting on the sidelines, as measured by the St. Louis Federal Reserve.

Persisting trends in bond and currency markets have resulted in gains for trend-following managers in the Managed Futures/CTAs and Global Macro strategies. Namely, yields fell following the Fed’s rate cut announcement, with U.S. 10-year notes touching 2.04% on Dec. 18, the lowest level since 1953 when records began.

Currency markets also experienced a shift as the U.S. dollar ended its 12 week rally with a 10% correction, sliding to a low of US$ 1.45 per Euro on Dec. 18.

Estimates are based on 74% of assets reporting; final December performance will be published January 15.

Credit Suisse/Tremont Hedge Fund Index Strategty Estimates*

Index

Dec-08 2008
Credit Suisse/Tremont Hedge Fund Index 0.30% -18.80%
Convertible Arbitrage -1.27% -31.79%
Dedicated Short Bias -2.55% 13.87%
Emerging Markets 0.25% -30.38%
Equity Market Neutral 1.89% -39.44%
Event Driven -0.26% -16.91%
     Distressed -1.37% -19.52%
     Event Driven Multi-Strategy 0.28% -15.60%
     Risk Arbitrage 1.49% -3.37%
Fixed Income Arbitrage 0.72% -27.72%
Global Macro 1.04% -4.69%
Long/Short Equity 0.85% -19.92%
Managed Futures 2.28% 18.23%
Multi-Strategy -1.66% -23.74%
MSCI World  3.06%  -42.08%
Barclays Capital Aggregate Bond Index 6.21% 4.79%
DJ AIG Commodities Index -4.48% -35.65%

*74% of funds reporting


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Editor's Note