Tuesday, January 13, 2009

Preliminary Credit Suisse Indices for December 2008

Yesterday I reported on HFRI's indices for December 2008. Today Credit Suisse/Tremont released preliminary results for the month. Credit Suisse's indices are capitalization weighted while HFRIs are not (I think). Credit Suisse estimate their index rose 0.3% in December. They also include managed futures (which did well) and short bias funds (which did not). Their estimates for convertible arbitrage and distressed securities show less severe losses for December and the year. Of course, their equity market neutral category shows a big loss for the year, while HFRI does not. This is due to the Madoff funds that were included in the Credit Suisse Index.

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