Hedge Fund Focus

Credit Suisse/Tremont Completes Semi-Annual Rebalancing of the AllHedge Index, the Blue Chip Index and the LEA Index

NEW YORK, Apr 24, 2009 (BUSINESS WIRE) — The Credit Suisse Index Co., Inc announced that as of April 1, 2009, the Credit Suisse/Tremont AllHedge Index, the Credit Suisse/Tremont Blue Chip Index and the Credit Suisse/Tremont Specialty Indices completed their routine semi-annual rebalancing of funds.
The Credit Suisse/Tremont family of hedge fund indices includes four separate indices:

– The Hedge Fund Index (the “Broad Index”), an asset-weighted benchmark that measures hedge fund performance;
– The AllHedge Index (”SECTAH”), an investable index comprised of all 10 Credit Suisse/Tremont Sector Invest indices weighted according to the sector weights of the Broad Index;
– The Blue Chip Index (”INVX”), an investable index comprised of the 60 largest funds across the ten style-based sectors in the broad index; and
– The Specialty Indices, the first of which is the LEA Index, an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, Emerging Europe, Middle East and Africa and Asia).

The rebalancing for SECTAH resulted in the addition of 12 funds and the rebalancing for INVX resulted in the addition of 14 funds. No new funds were added to LEA. The indices are constructed on an objective, rules-based methodology, which includes the following criteria:

– Funds for SECTAH and INVX are selected from the Broad Index;
– Funds for SECTAH generally represent the largest eligible funds in each of the ten sectors weighted according to the sector weights of the Broad Index;
– Funds for INVX generally represent the six largest eligible open funds in each of the ten sectors;
– Funds for LEA generally represent the largest eligible funds in each of the three regions in the LEA investable index universe; and
– Funds are determined by application of construction rules.

The funds that were added in SECTAH include: AlphaGen Capella Fund Ltd, Artradis Barracuda Fund, Bennelong Asia Pacific Multiple Strategy Equity Master Fund Ltd, GAP International Investment Fund, Marshall Wace Tops Fund Ltd - Global, Nevsky Fund Ltd, Quantitative Global Fund, Ltd, Roy G. Niederhoffer Fund (Ireland) Plc, Talentum Activedge Fund Ltd, Teleos International Ltd, The Capital Fund Ltd and Waterloo Fully Invested Fund Ltd. As of April 1, SECTAH is comprised of 97 constituent hedge funds.

The funds that were added in INVX include: AlphaGen Capella Fund Ltd, Artradis Barracuda Fund, Ascend Partners Fund II Ltd, Bennelong Asia Pacific Multiple Strategy Equity Master Fund Ltd, Boyer Allan Pacific Fund Inc, Marshall Wace Tops Fund Ltd - Global, Nevsky Fund Ltd, Omega Overseas Partners Ltd, Quantitative Global Fund, Ltd, Roy G. Niederhoffer Fund (Ireland) Plc, Talentum Activedge Fund Ltd, The Rohatyn Group Global Opportunity Fund Ltd, York Investment Ltd and Zweig-DiMenna International Limited. As of April 1, INVX is comprised of 60 constituent hedge funds.

As of April 1, LEA is comprised of 29 constituent hedge funds.
The new constituent funds were added as of April 1, 2009.
After the rebalancing, the sector weightings for SECTAH are as follows:

Sector Weights                  Sector Weights
At October 1, 2008 Rebalancing  At April 1, 2009 Rebalancing
Convertible Arbitrage   1.70%                           1.91%
Dedicated Short         0.55%                           0.68%
Emerging Markets        8.39%                           7.28%
Equity Market Neutral   5.33%                           6.03%
Event Driven            24.40%                          27.35%
Fixed Income Arbitrage  4.64%                           3.79%
Global Macro            13.96%                          14.87%
Long/Short Equity       26.64%                          23.63%
Managed Futures         3.77%                           3.95%
Multi-Strategy          10.62%                          10.51%

After the rebalancing, the sector weightings for INVX are as follows:

Sector Weights                  Sector Weights
At October 1, 2008 Rebalancing  At April 1, 2009 Rebalancing
Convertible Arbitrage   2.06%                           5.60%
Dedicated Short         1.04%                           0.82%
Emerging Markets        5.98%                           3.79%
Equity Market Neutral   8.63%                           3.12%
Event Driven            21.00%                          25.71%
Fixed Income Arbitrage  5.82%                           6.34%
Global Macro            16.58%                          17.76%
Long/Short Equity       16.68%                          7.42%
Managed Futures         7.62%                           4.70%
Multi-Strategy          14.59%                          24.73%

After the rebalancing, the regional breakdown for LEA is as follows:

Sector Weights                  Sector Weights
At October 1, 2008 Rebalancing  At April 1, 2009 Rebalancing
Asia           40.00%                          40.00%
EEMEA          27.31%                          20.00%
Latin America  32.69%                          40.00%

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Certain information contained in this document constitutes “Forward-Looking Statements” (including observations about markets and industry and regulatory trends as of the original date of this document), which can be identified by the use of forward-looking terminology such as “may”, “will”, “should”, “expect”, “anticipate”, “target”, “project”, “estimate”, “intend”, “continue” or “believe”, or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties beyond our control, actual events, results or performance may differ materially from those reflected or contemplated in such forward-looking statements. Readers are cautioned not to place undue reliance on such statements. Credit Suisse has no obligation to update any of the forward-looking statements in this document.

SOURCE: Credit Suisse

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