Positive September for Credit Suisse/Tremont index

The Credit Suisse/Tremont Hedge Fund Index is expected to finish up 2.67% in September based on 65% of assets reporting). Long/short equity and emerging markets managers had another positive month driven by equity market gains in September.

At the end of the best quarter since 1998 for the Dow Jones Index, up nearly 15%, market sentiment was further boosted by several positive macro indicators. These included an increase in the Global Purchasing Managers' Index (PMI) signalling expanding manufacturing output and a continuing stabilisation of global economic activity.

Inflation continued its downward trend in the US and in the Organisation for Economic Co-operation and Development (OECD) countries. Central banks overall maintained low interest rates.

Many equity indexes finished in positive territory, although there were some late market corrections following reports of worse-than-expected US home sales.

A number of global macro quantitative managers had a positive month, driven by long currency trades in the yen and euro and decreased foreign volatility. Yield curves did not move significantly and front end positions had relatively little impact on performance.

Credit-oriented managers in the fixed income arbitrage and event driven sectors had a positive September, with performance coming from mortgage-related bonds, corporate bonds (especially financials), swap spread trades (which have been normalisation trades focusing on the narrowing in the spread between Libor rates versus US Treasuries) and opportunities in government bond auctions.

Managed futures also had another positive month, giving the strategy its third positive month for the year.

Equity market neutral managers were also up in September. The value factor contributed positively to performance while factors such as momentum detracted from performance.

Estimates are based on 65% of assets reporting; final September performance will be published October 15.

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