Key Takeaways
- • The Dow Jones Credit Suisse Core Hedge Fund Index rose 1.44% in April 2011, reversing a 0.08% decline in March and lifting 2011 year-to-date gains to 2.62%.
- • Managed Futures was the best-performing sector in April, gaining 4.78%, as trading models captured reversals in market movements across sectors, according to Oliver Schupp, President of Credit Suisse Index Co., LLC.
- • Fixed Income Arbitrage (+2.52%), Long/Short Equity (+1.53%) and Emerging Markets (+1.60%) also posted solid April returns, while Convertible Arbitrage was the only strategy to decline, at -0.52%.
- • The index covers 40 component funds drawn from multiple managed account platforms and regulated fund structures, is rebalanced quarterly, is UCITS III compliant, and provides daily valuations.
Summary
The Dow Jones Credit Suisse Core Hedge Fund Index finished April 2011 up 1.44%, according to a Credit Suisse press release dated May 4, 2011. Oliver Schupp, President of Credit Suisse Index Co., LLC, said the index rebounded after a mid-month downturn to close the month higher. Managed Futures led all sectors with a 4.78% gain for the month, which Schupp attributed to trading models successfully identifying reversals in market movements across sectors.
The monthly results were broadly positive across strategies. Fixed Income Arbitrage returned 2.52% in April, Emerging Markets 1.60%, Long/Short Equity 1.53%, Event Driven 0.82% and Global Macro 0.44%. Convertible Arbitrage was the only strategy to post a loss, declining 0.52%. For the year to date, the index is up 2.62%, with Long/Short Equity (3.47%), Emerging Markets (3.50%) and Managed Futures (2.97%) among the leading contributors. March 2011 performance for the index was -0.08%, with Managed Futures down 2.25% that month.
The index is positioned as the first and only hedge fund index designed to reflect performance of managed accounts and other regulated fund structures sourced from multiple managed account platforms. The release notes that this structure responds to increased investor attention to liquid hedge fund vehicles offering greater liquidity and transparency after the 2008 market events. Unlike indexes limited to funds on a single platform, the Dow Jones Credit Suisse Core Hedge Fund Index aims to reflect the broader liquid hedge fund universe with limited platform bias. The index provides daily valuations, is rebalanced quarterly, is UCITS III compliant and includes 40 component funds.
The release also lists the broader Dow Jones Credit Suisse hedge fund index family: the asset-weighted Dow Jones Credit Suisse Hedge Fund Index, the investable AllHedge Index, the Blue Chip Hedge Fund Index of 60 large funds, and the LEA Hedge Fund Index covering Latin America, EEMEA and Asia emerging markets. Dow Jones Indexes is a joint venture owned 90% by CME Group and 10% by Dow Jones & Company. Full performance and constituent data are available at www.hedgeindex.com. The release carries a disclaimer that past performance is not a guide to future results and that the index is not investment advice.
The monthly results were broadly positive across strategies. Fixed Income Arbitrage returned 2.52% in April, Emerging Markets 1.60%, Long/Short Equity 1.53%, Event Driven 0.82% and Global Macro 0.44%. Convertible Arbitrage was the only strategy to post a loss, declining 0.52%. For the year to date, the index is up 2.62%, with Long/Short Equity (3.47%), Emerging Markets (3.50%) and Managed Futures (2.97%) among the leading contributors. March 2011 performance for the index was -0.08%, with Managed Futures down 2.25% that month.
The index is positioned as the first and only hedge fund index designed to reflect performance of managed accounts and other regulated fund structures sourced from multiple managed account platforms. The release notes that this structure responds to increased investor attention to liquid hedge fund vehicles offering greater liquidity and transparency after the 2008 market events. Unlike indexes limited to funds on a single platform, the Dow Jones Credit Suisse Core Hedge Fund Index aims to reflect the broader liquid hedge fund universe with limited platform bias. The index provides daily valuations, is rebalanced quarterly, is UCITS III compliant and includes 40 component funds.
The release also lists the broader Dow Jones Credit Suisse hedge fund index family: the asset-weighted Dow Jones Credit Suisse Hedge Fund Index, the investable AllHedge Index, the Blue Chip Hedge Fund Index of 60 large funds, and the LEA Hedge Fund Index covering Latin America, EEMEA and Asia emerging markets. Dow Jones Indexes is a joint venture owned 90% by CME Group and 10% by Dow Jones & Company. Full performance and constituent data are available at www.hedgeindex.com. The release carries a disclaimer that past performance is not a guide to future results and that the index is not investment advice.
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