Credit Suisse/Tremont Hedge Fund Index Confirms February Performance Down 0.88%

Date: Tuesday, March 17, 2009
Author: Credit Suisse

Final performance for the Credit Suisse/Tremont Hedge Fund Index was down 0.88% in February, according to Oliver Schupp, President of Credit Suisse Index Co., Inc.

Mr. Schupp said, "Hedge Funds capitalized on market swings in February as volatility in global equity markets was fueled by an adversity between the financial sector and the economy. Convertible Arbitrage strategies continued the rally that began in January, reflecting increasing demand and liquidity in the sector. Overall, four of the Index's ten sectors finished the month in positive territory." Schupp added, "The Equity Market Neutral sector of the Broad Benchmark Index was affected by the events surrounding WGTC Limited, a member fund in the Index. Given all available information, the assets of WGTC Limited have been marked down approximately 80% for February to reflect the news."

Performance for the Credit Suisse/Tremont Hedge Fund Index and its ten sub-strategies is calculated monthly. February, January and 2009 returns are listed below and are available at www.hedgeindex.com.

Index                                   February     January    2009
                                        2009         2009
Credit Suisse/Tremont Hedge Fund Index  -0.88  %     1.09  %    0.20   %
Convertible Arbitrage                   0.75   %     5.72  %    6.51   %
Dedicated Short Bias                    3.22   %     3.69  %    7.03   %
Emerging Markets                        -2.10  %     -0.14 %    -2.24  %
Equity Market Neutral                   -5.61  %     1.14  %    -4.53  %
Event Driven                            -1.13  %     0.79  %    -0.35  %
Distressed                              -1.20  %     -0.06 %    -1.25  %
Event Driven Multi-Strategy             -1.12  %     1.33  %    0.19   %
Risk Arbitrage                          0.69   %     0.38  %    1.07   %
Fixed Income Arbitrage                  1.01   %     0.48  %    1.49   %
Global Macro                            0.21   %     2.33  %    2.55   %
Long/Short Equity                       -1.34  %     -0.17 %    -1.51  %
Managed Futures                         -0.16  %     -0.56 %    -0.72  %
Multi-Strategy                          -0.09  %     3.35  %    3.26   %
S&P 500 TRI Index*                      -10.65 %     -8.43 %    -18.18 %
Dow Jones World Index*                  -10.17 %     -8.51 %    -17.82 %
*Total Return Indices

The following 13 funds are no longer reporting to the Credit Suisse/Tremont Hedge Fund Index: Capra Global Managed Assets Ltd., Absolute Return Europe Fund, BAREP Protea, ZAIS Opportunity Master Fund Ltd., Endeavour Fund LP, Bricoleur Enhanced, Bricoleur Partners, Chilton New Era International BVI Ltd, FrontPoint Fixed Income Opportunities Fund LP, FrontPoint Japan Funds, LibertyView Credit Opportunities Fund, LibertyView Fund LP, Graham Global Investment Fund (Fed Policy).

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 U.S. 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 USD 50 million under management, a 12-month track record, and audited financial statements. Index funds are selected using a formula based on assets under management, which ensures that the Index represents at least 85% of total assets in each of ten strategy-based sectors in the selection universe. In order to minimize survivorship bias, funds are not excluded until they liquidate or fail to meet the reporting requirements. The Index is calculated as a total return index on a monthly basis, adjusted for asset in- and outflows, including a reselection according to the procedure outlined above, on a quarterly basis.

The Credit Suisse/Tremont family of hedge fund indices includes four separate indices:

-- The Hedge Fund Index (the "Broad Index"), an asset-weighted benchmark that measures hedge fund performance

-- The AllHedge Index ("SECTAH"), an investable index comprised of all 10 Credit Suisse/Tremont Sector Invest indices weighted according to the sector weights of the Broad Index

-- The Blue Chip Index ("INVX"), an investable index comprised of the 60 largest funds across the ten style-based sectors in the broad index; and

-- The Specialty Indices, the first of which is the LEA Index, an asset-weighted, composite index which provides insight in to three specific regions of the emerging markets hedge fund universe (Latin America, EEMEA (Emerging Europe, Middle East and Africa) and Asia).

In accordance with the Credit Suisse/Tremont Investable Hedge Fund Index ("Blue Chip Index") Rules (the "Index Rules"), and the Credit Suisse/Tremont Sector Invest Indices Rules (the "Sector Invest Rules"), Credit Suisse Tremont Index LLC is publishing the following notice:

The following funds are in a Special Rebalancing Situation: Akanthos Arbitrage Fund, Ltd., Alexandra Global Investment Fund I, Ltd., Amber Fund (Cayman) Ltd., Arcas International Fund, Ltd. (Covered Interest), Argent Classic Convertible Arbitrage Fund Ltd., Arpeggio Fund, Basso Investors Ltd., Canyon Value Realization Fund (Cayman), Ltd., Castlerigg International Limited, Compass Holdings Ltd., Context Offshore Advantage Fund, Ltd., Deephaven Global Multi-Strategy Fund, Drawbridge Global Macro Fund Ltd., Firebird Avrora Fund Ltd, GLG European Long Short Fund Ltd, GLG Market Neutral Fund Ltd, Global Undervalued Securities Fund, Ltd., Gramercy Emerging Markets, Ltd., Henderson Global Fixed Income Absolute Return Ltd, Iceberg Fund Ltd, JANA Offshore Partners Ltd, Longacre International Ltd, Mangart Global Fund Ltd., Mariner Atlantic Ltd, NWI Explorer Global Fund Ltd., O'Connor Global Convertible Arbitrage Ltd, P.M. CAPITAL Absolute Performance Fund Ltd, Permal Fixed Income Special Opportunities Ltd., Platinum Grove Contingent Capital Offshore Ltd., Plexus Fund Ltd., Ramius Multi-Strategy Fund Ltd., Seneca Capital International, Ltd., Smith Breeden Global Funding Ltd. and Temujin International Fund Ltd.

Additional features of the Credit Suisse/Tremont Index series include:

-- Transparency via www.hedgeindex.com and pages on Bloomberg and Reuters

-- A broad suite of index-linked investment products through Credit Suisse

Credit Suisse Tremont Index LLC is the joint venture company of Credit Suisse Index Co., Inc., and Tremont Capital Management, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.

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SOURCE: Credit Suisse