NEW YORK (HedgeWorld.com)–The CSFB/Tremont Hedge Fund Index showed a positive return of 1.43% for February, with the dedicated-short category leading all strategies with a return of 3.4%. It was the second straight strong month for short-biased managers, who turned in a 6.9% performance in January and who now stand at plus 10.59% year to date through Feb. 28.
The Standard & Poor's 500 stock index was up 2.1% for February, and the Dow Jones Industrial Index returned 2.92%, while the Nasdaq Composite US Index was down 0.52%. The MSCI World Index was up 3.21% for the month.
In the hedge fund realm, emerging markets managers also had a good February, posting a positive 3.35%, bringing them to 4.52% for 2005 through Feb. 28. They were "aided by strong emerging equity markets in addition to generally positive emerging markets bonds," said Oliver Schupp, president of Credit Suisse First Boston Tremont LLC, in a statement. "In terms of currencies, managers reported profits from trades involving long emerging markets currencies versus short G10 currencies."
With a return of 2.03%, long/short equity managers nearly tied the S&P 500 in February. Event-driven strategies overall posted a 1.59% return, with multi-strategy managers leading the way with 1.68% and risk arbitrage funds trailing, with a 0.46% return.
Convertible arbitrage was the lone strategy in the index in negative territory for February, with a minus 0.31% return, putting it at negative 1.1% for 2005 through Feb. 28. Fixed-income arbitrage posted a 0.91% return, while managed futures eked out 0.08%. Global macro managers fared better, turning in 1.4% for the month.
The CSFB/Tremont Hedge Fund Index is constructed using the Lipper TASS and CSFB/Tremont databases of more than 4,500 hedge funds and contains 389 funds as of Feb. 28. To be included, funds must have a minimum of US$10 million under management, a 12-month track record and audited financial statements. Once added, funds are not excluded until they are liquidated or fail to meet the reporting requirements, in order to minimize subscriber bias.
For February, one fund, Meditor European Hedge Fund (B) Limited was dropped, because it is no longer reporting.
Investable Index
CSFB/Tremont's Investable Fund Index was up 0.81% for February, on an estimated basis, following a confirmed January return of minus 0.17%.
