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Industry Updates

Credit Suisse Hedge Fund Index down 0.54% in August, (+4.03% YTD)

Monday, September 16, 2013
Opalesque Industry Update - The Credit Suisse Hedge Fund Index (the “Broad Index”) finished down 0.54% for the month of August.

Performance for the Broad Index and its 10 sub-strategies is calculated monthly. July, August and YTD 2013 performance numbers are listed below and are available at www.hedgeindex.com.

Performance

Performance 

Monthly Performance

 

 

 

 

 

 

     Aug 2013

         Jul 2013

YTD

1 Year

Avg

 

 

 

Index / Sub Strategies

Currency

Value

ROR

Value

ROR

Return

Return

Annl*

Std Dev*

Sharpe*

 

Credit Suisse Hedge Fund Index

USD

504.30

-0.54%

507.05

0.88%

4.03%

7.16%

8.58%

7.37%

0.77

 

   Convertible Arbitrage

USD

412.71

0.72%

409.77

-0.08%

4.47%

6.83%

7.47%

6.73%

0.68

 

   Dedicated Short Bias

USD

35.32

0.03%

35.31

-5.74%

-17.36%

-23.22%

-5.15%

16.68%

-0.48

 

   Emerging Markets

USD

405.34

-0.24%

406.32

-0.09%

2.87%

9.21%

7.38%

14.47%

0.31

 

   Equity Market Neutral

USD

252.48

-1.72%

256.91

2.02%

3.00%

4.43%

4.82%

10.04%

0.19

 

   Event Driven

USD

585.72

-0.04%

585.97

1.51%

8.60%

13.95%

9.40%

6.20%

1.05

 

     Distressed

USD

702.61

-0.48%

706.01

1.31%

8.87%

14.37%

10.42%

6.48%

1.16

 

     Multi-Strategy

USD

535.36

0.16%

534.49

1.61%

8.50%

13.81%

8.91%

6.71%

0.89

 

     Risk Arbitrage

USD

342.32

0.01%

342.29

0.99%

2.95%

5.23%

6.46%

4.07%

0.87

 

   Fixed Income Arbitrage

USD

283.36

0.21%

282.77

0.38%

1.95%

5.34%

5.44%

5.56%

0.45

 

   Global Macro

USD

826.43

-0.92%

834.14

0.26%

0.66%

2.54%

11.34%

9.47%

0.89

 

   Long/Short Equity

USD

567.88

-1.11%

574.28

1.95%

7.89%

11.90%

9.23%

9.71%

0.65

 

   Managed Futures

USD

257.00

-2.77%

264.33

-1.06%

-7.26%

-11.32%

4.92%

11.66%

0.17

 

   Multi-Strategy

USD

447.10

0.08%

446.74

1.16%

5.12%

8.87%

8.02%

5.26%

0.97

 

 

 

 

 

 

 

 

 

 

 

 

 

*Average Annual Index data begins January 1994. Monthly Standard Deviation annualized. Sharpe ratio calculated using the rolling 90 day T-bill rate.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

S&P 500

USD

 

-2.90%

 

5.09%

16.15%

 

 

 

 

 

S&P Goldman Sachs Commodities Index

USD

 

3.38%

 

4.91%

2.59%

 

 

 

 

 

Credit Suisse High Yield II Index

USD

 

-0.58%

 

1.99%

2.94%

 

 

 

 

 

Citigroup World Government Bond Index

USD

 

-0.45%

 

1.35%

-4.82%

 

 

 

 

 

Dow Jones World Index

USD

 

-2.31%

 

4.72%

7.49%

 

 

 

 

 

Dow Jones World Emerging Index

USD

 

-2.23%

 

1.08%

-10.77%

 

 

 

 

 

Dow Jones Latin America Index

USD

 

-3.37%

 

-1.31%

-19.33%

 

 

 

 

 

Dow Jones Global 1800 Asia Pacific ex Japan Index

USD

 

-0.13%

 

3.18%

-3.51%

 

 

 

 

 

STOXX Eastern Europe Total Market Index

USD

 

-2.79%

 

2.17%

-14.26%

 

 

 

 

 

Benchmark Indexes Disclosure

 

 

The following funds were dropped from the Credit Suisse Hedge Fund Index in August: BBVA & Partners Equity Arbitrage Master Ltd., Henderson European Absolute Return Fund Limited, Matthes Capital Management, and Traxis Fund LP.

There were no funds added to the Credit Suisse Hedge Fund Index in August.

press release

www.credit-suisse.com

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