Market Risk - Long/Short Equity Hedge Funds Avoided Equity Market Downswings In October

November 4th, 2009
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Contributed by: RiskCenter
Long/Short Equity fund managers avoided equity market volatility in October, finishing the month in neutral territory, according to Jordan Drachman, Head of Research for Alternative Beta Strategies at Credit Suisse.

Dr. Drachman noted, “After record third quarter performance, Long/Short Equity hedge funds posted more muted returns in October; nevertheless, the sector outperformed most global equity markets, avoiding the drawdowns experienced across many equity market indices. Global Macro hedge funds appear to have posted gains last month, as models picked up on macro-economic trends despite market uncertainty. The Credit Suisse Long/Short Equity Replication Index (“AIR Long/Short Equity Index”) was down -0.01% (net) for the month, while the Credit Suisse Global Macro Replication Index (“AIR Global Macro Index”) finished up 0.63% (net) in the same period.”

AIR Indices seek to replicate the performance of major hedge fund strategies and enable investors to gain liquid, transparent insight into the Global Macro and Long/Short Equity sectors of the Credit Suisse/Tremont Hedge Fund Index. The AIR platform also offers inverse indices that seek to approximate short exposure to the aggregate returns of the universe of Long/Short Equity and Global Macro hedge fund managers.

Performance for the AIR Global Macro and Long/Short Equity Indices (shown below) is calculated daily and shown net of a 1.15% per annum calculation fee. Performance, descriptions, statistics and downloadable price history can be found on the Credit Suisse Alternative Beta website, www.credit-suisse.com/alternativebeta.

YTD through / Oct-09 / Sep-09 / Sep-09
AIR Global Macro (Net) 0.63% / -0.18% / 2.01%
Credit Suisse/Tremont Global Macro Hedge Fund Index N/A* / N/A* / 9.09%
AIR Long/Short Equity (Net) -0.01% / 1.02% / 10.52%
Credit Suisse/Tremont Long/Short Equity Hedge Fund Index N/A* / N/A* / 16.68%
S&P 500 TRI Index** 1.86% / 3.73% / 19.26%
Dow Jones World Index** -1.82% / 4.42% / 26.66%

* October performance will be published November 16th on Bloomberg and online at www.hedgeindex.com

** Total Return Indices
Additional features of the AIR Long/Short Equity and Global Macro Indices include:

• AIR Indices seek to capture the risk/return characteristics of specific hedge fund sectors

• Indices are valued daily and are comprised of liquid, investable market factors that are selected and weighted using an objective and transparent rules-based methodology

• An algorithm determines the appropriate factors and weightings to employ in seeking to replicate the returns of specific hedge fund strategies

• Transparency via website (www.credit-suisse.com/alternativebeta) and pages on Bloomberg
Related Article Tags: Multi-Strategy, Long Short, Equity, Debt and Global Macro Hedge Fund News; Hedge Fund Resources and Featured Partner News


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