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
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Performance
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Monthly Performance
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Aug
2013
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Jul
2013
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YTD
|
1 Year
|
Avg
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Currency
|
Value
|
ROR
|
Value
|
ROR
|
Return
|
Return
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Annl*
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Std Dev*
|
Sharpe*
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Credit Suisse Hedge Fund Index
|
USD
|
504.30
|
-0.54%
|
507.05
|
0.88%
|
4.03%
|
7.16%
|
8.58%
|
7.37%
|
0.77
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Convertible Arbitrage
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USD
|
412.71
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0.72%
|
409.77
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-0.08%
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4.47%
|
6.83%
|
7.47%
|
6.73%
|
0.68
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Dedicated Short Bias
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USD
|
35.32
|
0.03%
|
35.31
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-5.74%
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-17.36%
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-23.22%
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-5.15%
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16.68%
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-0.48
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Emerging Markets
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USD
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405.34
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-0.24%
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406.32
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-0.09%
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2.87%
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9.21%
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7.38%
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14.47%
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0.31
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Equity Market Neutral
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USD
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252.48
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-1.72%
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256.91
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2.02%
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3.00%
|
4.43%
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4.82%
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10.04%
|
0.19
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Event Driven
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USD
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585.72
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-0.04%
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585.97
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1.51%
|
8.60%
|
13.95%
|
9.40%
|
6.20%
|
1.05
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Distressed
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USD
|
702.61
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-0.48%
|
706.01
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1.31%
|
8.87%
|
14.37%
|
10.42%
|
6.48%
|
1.16
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Multi-Strategy
|
USD
|
535.36
|
0.16%
|
534.49
|
1.61%
|
8.50%
|
13.81%
|
8.91%
|
6.71%
|
0.89
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Risk Arbitrage
|
USD
|
342.32
|
0.01%
|
342.29
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0.99%
|
2.95%
|
5.23%
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6.46%
|
4.07%
|
0.87
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Fixed Income Arbitrage
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USD
|
283.36
|
0.21%
|
282.77
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0.38%
|
1.95%
|
5.34%
|
5.44%
|
5.56%
|
0.45
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Global Macro
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USD
|
826.43
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-0.92%
|
834.14
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0.26%
|
0.66%
|
2.54%
|
11.34%
|
9.47%
|
0.89
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Long/Short Equity
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USD
|
567.88
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-1.11%
|
574.28
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1.95%
|
7.89%
|
11.90%
|
9.23%
|
9.71%
|
0.65
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Managed Futures
|
USD
|
257.00
|
-2.77%
|
264.33
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-1.06%
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-7.26%
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-11.32%
|
4.92%
|
11.66%
|
0.17
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Multi-Strategy
|
USD
|
447.10
|
0.08%
|
446.74
|
1.16%
|
5.12%
|
8.87%
|
8.02%
|
5.26%
|
0.97
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*Average Annual Index data begins January
1994. Monthly Standard Deviation annualized. Sharpe ratio calculated using
the rolling 90 day T-bill rate.
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S&P 500
|
USD
|
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-2.90%
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|
5.09%
|
16.15%
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S&P Goldman Sachs Commodities Index
|
USD
|
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3.38%
|
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4.91%
|
2.59%
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Credit Suisse High Yield II Index
|
USD
|
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-0.58%
|
|
1.99%
|
2.94%
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Citigroup World Government Bond Index
|
USD
|
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-0.45%
|
|
1.35%
|
-4.82%
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Dow Jones World Index
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USD
|
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-2.31%
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4.72%
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7.49%
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Dow Jones World Emerging Index
|
USD
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-2.23%
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1.08%
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-10.77%
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Dow Jones Latin America Index
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USD
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-3.37%
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-1.31%
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-19.33%
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Dow Jones Global 1800 Asia Pacific ex Japan Index
|
USD
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-0.13%
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3.18%
|
-3.51%
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STOXX Eastern Europe Total Market Index
|
USD
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-2.79%
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2.17%
|
-14.26%
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Benchmark
Indexes Disclosure
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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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