Managed futures provided the greatest protection against volatility in March
The CSFB/Tremont Hedge Fund Index fell 0.3% in March 2001, according to Roland Lorenzo, president and chief operating officer of Credit Suisse First Boston Tremont Index LLC.
He said: 'Hedge fund investors enjoyed smooth sailing compared with the harsh losses suffered by traditional, long-only portfolios. Alternative strategies are providing investors with a safe harbour during stormy market conditions.'
Robert I Schulman, president of Tremont Advisers, said: 'Managed futures programs provided the most protection against investment risk during March. The benefits of non-correlation prevailed during the prolonged market turbulence and diversified investors were able to preserve capital.'
For the 87-month period from its inception on 1 January 1994 to 31 March 2001, the CSFB/Tremont Hedge Fund Index has returned 131.0%.
The index is comprised of 334 funds and is constructed using a database of more than 2,600 hedge funds. It includes both US and offshore funds but not funds of funds.
In order to qualify for inclusion, a fund must have US$10m under management and an audited financial statement. The index is calculated on a monthly basis and adjusted for capitalisation and return. Funds are reselected on a quarterly basis.
Performance for the CSFB/ Tremont Hedge Fund Index, and the nine style-driven sub-indices, are calculated monthly. The index was designed to establish a standard for tracking and comparing hedge fund performance against other major asset classes on a global basis. Its website provides an interactive tool that allows users to customise their research.
CSFB is a global investment banking firm serving institutional, corporate, government and individual clients.
Its businesses includes securities underwriting, sales and trading, investment and merchant banking, financial advisory services, venture capital and online brokerage services.
Tremont Advisers is a diversified holding company engaged in three core businesses: advisory services, information and research and investment products for the global alternative investment industry. It manages in excess of $500m in proprietary funds and has more than $100m in insurance policies related to alternative investments.
For further information visit www.hedgeindex.com
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