Tue, Mar 28, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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

Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He