Final performance for the Credit Suisse/Tremont Hedge Fund Index is down 4.15 per cent in November, according to Oliver Schupp, president of Credit Suisse Index.
Final performance for the Credit Suisse/Tremont Hedge Fund Index is down 4.15 per cent in November, according to Oliver Schupp, president of Credit Suisse Index.
‘Continued elevated levels of volatility remain a key factor affecting the overall industry and has forced hedge fund managers to de-lever further and reduce risk along with the financial community as a whole,’ Schupp says.
He adds: ‘The unexpected events around Kingate Global/Fairfield Sentry have had material effects on the performance of the equity market neutral sector, and therefore have also impacted the broad benchmark index.’
Kingate Global Fund, Fairfield Sentry and Rye Select Broad Market Portfolio are individual funds whose returns are reported as a composite named Kingate Global/Fairfield Sentry in the Credit Suisse/Tremont Hedge Fund Index.
The funds were managed by disgraced New York broker Bernard Madoff, who is accused of a fraud involving as much as USD50bn.
‘Considering the information we now have concerning Kingate Global/Fairfield Sentry, assets under management for the funds have been marked down to zero for November to reflect the news received last week.’ Schupp says. ‘Relatively unstable market conditions benefited the dedicated short bias sector. Managed futures funds were also able to capitalize on market trends.’
Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly.
The index is constructed using the Credit Suisse/Tremont database of more than 5,000 hedge funds.
It includes both open and closed funds located in the US and offshore, but does not include fund of funds.
In order to qualify for inclusion in the index selection universe, a fund must have a minimum of USD50m under management, a 12-month track record, and audited financial statements.
