Tuesday, December 16, 2008

Effect of Madoff on the Credit Suisse/Tremont Hedge Fund Index

Credit Suisse/Tremont Equity Market Neutral Index loses 40.45% in November:

Up to the end of October the index was pretty much flat for the year. The attached commentary states that they wrote down all the Madoff related funds to zero for November. Does this mean that they constituted roughly 40% of the market neutral index?

Seems to me that it would make more sense to just remove them from all past periods too?

No comments: