Oliver Schupp, President of Credit Suisse Index Co., LLC, said, "The Dow Jones Credit Suisse Hedge Fund Index fell 2.30% in August, although three out of ten sectors posted positive performance for the month. Overall, the index outperformed global equities by more than five percentage points with Dedicated Short Bias delivering the strongest performance, gaining 6.56% as short positions across equity markets proved profitable amidst broad market downturns. Global Macro also gained 1.91% as managers employed tactical trading strategies to navigate the high levels of volatility seen in August." Schupp continued, "The industry saw an estimated $4.77 billion in inflows. Including August's performance, total industry assets are now estimated at $1.79 trillion."
Performance for the Broad Index and its ten sub-strategies is calculated monthly. August, July and YTD performance numbers are listed below and are available at www.hedgeindex.com.
Index | August 2011 | July 2011 | YTD |
Broad Index | -2.30% | 0.69% | 0.00% |
Convertible Arbitrage | -1.73% | -0.14% | 1.72% |
Dedicated Short Bias | 6.56% | 3.01% | 4.37% |
Emerging Markets | -3.15% | 1.67% | 0.63% |
Equity Market Neutral | -0.89% | -0.18% | 4.40% |
Event Driven | -5.37% | -0.78% | -4.87% |
Distressed | -4.41% | -0.26% | -1.69% |
Event Driven Multi-Strategy | -5.98% | -1.07% | -6.78% |
Risk Arbitrage | -0.92% | -0.77% | 1.21% |
Fixed Income Arbitrage | -0.27% | 0.55% | 3.82% |
Global Macro | 1.91% | 2.53% | 5.89% |
Long/Short Equity | -4.44% | -0.41% | -4.12% |
Managed Futures | 0.25% | 4.03% | 0.74% |
Multi-Strategy | -1.93% | 0.61% | 2.99% |
-3.96% | -2.05% | 2.14% | |
Dow Jones Global Index | -7.69% | -1.66% | -6.07% |
The following funds are no longer reporting to the Dow Jones Credit Suisse Hedge Fund Index: Fletcher Income Arbitrage Fund, Forest Global Convertible Fund, FrontPoint Financial Services Fund L.P., FrontPoint Asia Pacific Fund L.P., BBM Gauss Fund
The Dow Jones Credit Suisse family of hedge fund indexes includes:
1. The Dow Jones Credit Suisse Hedge Fund Index, an asset-weighted benchmark that measures hedge fund performance and seeks to provide the most accurate representation of the hedge fund universe.
2. The Dow Jones Credit Suisse Core Hedge Fund Index, an investable, asset-weighted hedge fund index that seeks to provide broad representation of the liquid, investable hedge fund universe with limited platform bias. The index reflects the performance of managed accounts and other regulated fund structures sourced from across a range of platforms.
3. The Dow Jones Credit Suisse AllHedge Index, an investable index comprised of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes weighted according to the sector weights of the Broad Index.
4. The Dow Jones Credit Suisse Blue Chip Hedge Fund Index, an investable index comprised of 60 of the largest funds across the ten style-based sectors in the Broad Index.
5. The Dow Jones Credit Suisse LEA Hedge Fund Index, 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
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 (as defined in the Index Rules available on www.hedgeindex.com): Alexandra Global Investment Fund I Ltd., Bennelong Asia Pacific Multi Strategy Equity Master Fund Ltd., Canyon Value Realization Fund (Cayman) Ltd., Castlerigg International Limited, 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., JANA Offshore Partners Ltd., Jayhawk China Fund (Cayman) Ltd., Longacre International Ltd., O'Connor Currency and Rates Portfolio II Ltd., Owl Creek Overseas Fund Ltd., Ramius Multi-Strategy Fund Ltd., Seneca Capital International, Ltd., Shepherd Select Asset Ltd. and WGTC Ltd.
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