Performance for the Broad Index and its ten sub-strategies is calculated monthly. September, August, and year-to-date performance numbers are listed below and are available at www.hedgeindex.com.
Index | September 2010 | August 2010 | YTD | |
Broad Index | 3.43% | 0.23% | 5.98% | |
Convertible Arbitrage | 1.11% | 1.35% | 7.51% | |
Dedicated Short Bias | -11.28% | 5.15% | -12.49% | |
Emerging Markets | 4.77% | 0.12% | 7.72% | |
Equity Market Neutral | 3.66% | -1.55% | -0.96% | |
Event Driven | 3.20% | -0.40% | 6.31% | |
Distressed | 2.07% | -0.64% | 5.58% | |
Event Driven Multi-Strategy | 4.03% | -0.24% | 6.78% | |
Risk Arbitrage | 2.31% | 0.31% | 4.14% | |
Fixed Income Arbitrage | 1.55% | 1.24% | 9.79% | |
Global Macro | 2.72% | 1.48% | 9.33% | |
Long/Short Equity | 5.09% | -1.12% | 3.12% | |
Managed Futures | 2.77% | 4.87% | 6.44% | |
Multi-Strategy | 2.79% | 0.01% | 5.01% | |
Dow Jones Industrial Average* | 7.85% | -3.91% | 5.57% | |
Dow Jones World Index | 9.54% | -3.62% | 2.89% | |
*Total Return Index | ||||
No funds were added to the Broad Index in September.
The following funds are no longer reporting to the Broad Index: Compass Income Master Fund, Inc., Amber Master Fund SPC, Iridian Opportunity Fund.
The Broad Index is constructed using the Credit Suisse database of more than 8,000 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but does not include fund of funds. In order to qualify for inclusion in the index selection universe, a fund must have a minimum of USD 50 million under management, a 12-month track record, and audited financial statements. Index funds are selected using a formula based on assets under management, which ensures that the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe. In order to minimize survivorship bias, funds are not excluded until they liquidate or fail to meet the reporting requirements. The Broad Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflows, including a reselection according to the procedure outlined above, on a quarterly basis.
The Dow Jones Credit Suisse family of hedge fund indexes includes four separate indexes:
- The Dow Jones Credit Suisse Hedge Fund Index (formerly known as the Credit Suisse/Tremont Hedge Fund Index) is an asset-weighted benchmark that measures hedge fund performance and seeks to provide the most accurate representation of the hedge fund universe.
- The Dow Jones Credit Suisse AllHedge Index (formerly known as the Credit Suisse/Tremont AllHedge Index) is an investable index comprised of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes weighted according to the sector weights of the Broad Index.
- The Dow Jones Credit Suisse Blue Chip Hedge Fund Index (formerly known as the Credit Suisse/Tremont Investable Hedge Fund Index) is an investable index comprised of 60 of the largest funds across the ten style-based sectors in the Broad Index.
- The Dow Jones Credit Suisse LEA Hedge Fund Index (formerly known as the Credit Suisse/Tremont LEA Hedge Fund Index) is an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).
In accordance with the Dow Jones Credit Suisse Blue Chip Hedge Fund Index Rules and the Dow Jones Credit Suisse AllHedge Strategy Index Rules, Credit Suisse Hedge Index LLC is publishing the following notice:
The following funds are in a Special Rebalancing Situation: Alexandra Global Investment Fund I Ltd., Amber Fund (Cayman) Ltd., Arpeggio Fund, Basso Investors Ltd., Bennelong Asia Pacific Multi Strategy Equity Master Fund Ltd., BlueTrend Fund Ltd., Bridgewater Pure Alpha Fund II Ltd., Canyon Value Realization Fund (Cayman) Ltd., Castlerigg International Limited, Centaur Classic Convertible Arbitrage Fund Ltd., Compass Holdings Ltd., Contrarian Fund I Offshore Ltd., Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd. - SPV Assets, Firebird Avrora Fund Ltd, GLG European Long Short Fund Ltd., GLG Market Neutral Fund Ltd., Global GT Ltd., Gramercy Offshore Fund (SPV) SPC, JANA Offshore Partners Ltd., Jayhawk China Fund (Cayman) Ltd., Longacre International Ltd., Owl Creek Overseas Fund Ltd., Plexus Fund Ltd., Ramius Multi-Strategy Fund Ltd., Seneca Capital International, Ltd., Shepherd Select Asset Ltd., Thales International Fund Ltd., and WGTC Ltd.
No comments:
Post a Comment