. CSFB/TREMONT HEDGE FUND INDEX A FAMILY OF ASSET-WEIGHTED INDICES PROVIDING UNPRECEDENTED ACCURACY AND FAITHFUL PERFORMANCE REPRESENTATION ACROSS ALL MAJOR HEDGE FUND SECTORS Performance (August 2004) Index Characteristics The CSFB/Tremont Hedge Fund Index is the largest asset- 400 S&P 500 weighted hedge fund index. Unlike even-weighted indices, it does 350 not underweight top performers and overweight decliners. MSCI World 300 CSFB/Tremont Hedge The CSFB/Tremont Index is broadly diversified, encompassing 387 Fund Index 250 funds (August 2004) across ten style-based sectors, and representative of the entire hedge fund industry. 200 150 Index construction is fully transparent, with unbiased, rules-based selection criteria and published constituents. 100 50 Rigorous reporting standards are required of member funds, Dec-93 Dec-94 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 including monthly performance disclosure and audited financial statements. Return Statistics (August 2004) Ten sector indices track every major style of hedge fund manager: Inception-to-date Cumulative Annualised Annualised Annualised Sharpe Ratio T-Stat – Convertible Arbitrage: Exploiting price inefficiencies between Statistics Return (%) Tot. Ret. (%) Ex. Ret. (%) Volatility (%) (USD) (S.R.)* convertible securities and stock CSFB/Tremont Hedge Fund Index 194.78% 10.67% 6.73% 8.25% 0.82 2.66 – Dedicated Short Bias: Equity and derivatives portfolios with Convertible Arbitrage 172.72% 9.86% 5.93% 4.72% 1.26 4.10 net short, “bearish” focus Dedicated Short Bias -20.99% -2.18% -6.12% 17.71% -0.35 -1.13 Emerging Markets 104.79% 6.95% 3.02% 17.28% 0.17 0.57 – Emerging Markets: Equity and fixed-income investments in Equity Market Neutral 188.20% 10.43% 6.50% 3.05% 2.13 6.97 emerging markets worldwide Event Driven 211.08% 11.23% 7.29% 5.87% 1.24 4.06 Fixed Income Arbitrage 102.15% 6.82% 2.89% 3.86% 0.75 2.44 – Equity Market-Neutral: Offsetting long and short equity Global Macro 303.91% 13.98% 10.05% 11.76% 0.85 2.79 positions that are beta-neutral, currency-neutral, or both Long/Short Equity 219.52% 11.51% 7.57% 10.72% 0.71 2.31 Managed Futures 84.23% 5.90% 1.96% 12.21% 0.16 0.52 Multi Strategy 154.62% 9.39% 5.36% 4.44% 1.21 3.90 – Event-Driven: Corporate strategies focused on distressed S&P 500 186.83% 10.38% 6.45% 15.44% 0.42 1.36 securities, high-yield debt, Regulation D, and risk arbitrage MSCI World 109.60% 7.18% 3.25% 14.37% 0.23 0.74 – Fixed-Income Arbitrage: Exploiting price inefficiencies between related debt securities Correlation Statistics (August 2004) CSFB/Tremont – Global Macro: Directional macroeconomic strategies Hedge Fund S&P 500 MSCI World Index – Long-Short Equity: Directional equity and equity derivative Convertible Arbitrage 0.40 0.13 0.11 strategies Dedicated Short Bias -0.48 -0.76 -0.75 Emerging Markets 0.65 0.48 0.53 – Managed Futures: Listed futures strategies often driven by Equity Market Neutral 0.33 0.39 0.37 technical or market analysis Event Driven 0.66 0.55 0.58 Fixed Income Arbitrage 0.45 0.03 0.03 – Multi Strategy: Multiple strategies Global Macro 0.86 0.23 0.18 Long/Short Equity 0.78 0.58 0.61 Managed Futures 0.11 -0.20 -0.15 Multi Strategy 0.16 0.07 0.11 CSFB/Tremont Hedge 1.00 Fund Index S&P 500 0.48 1.00 MSCI World 0.47 0.94 1.00 . Requirements of a Good Index The CSFB/Tremont Hedge Fund Index was designed around the Index represents at least 85% of assets under management in following concepts: selection universe for each sector—total composite Index – Faithful representation of the universe of funds: A good membership of 387 funds (August 2004) hedge fund index should provide an undistorted picture of Completely rules-based Index selection criteria hedge fund performance. To do this, it must accurately and faithfully represent the universe of hedge funds, taking into Exclusion of funds-of-funds but inclusion of closed funds for most account both their performance and their relative representative universe significance (size) with regard to each other and the universe as a whole. Company Structure – Rules-based selection criteria: The body of hedge funds comprising the index should be specified by clear rules that Index Manager: CSFB/Tremont Index LLC., a Delaware joint are defined in advance, publicly available, and not subject to venture company created by Credit Suisse First Boston and arbitrary interpretation. Tremont Advisers. Credit Suisse First Boston is the majority – Transparency: The hedge funds comprising the index owner of the joint venture. should be published, and any changes to the members of the index, the selection criteria for the index, or the calculation of the index should be announced in advance. Credit Suisse First Boston (CSFB) is a major international investment bank with more than 25,000 employees and offices – Oversight and Objectivity: The index should be governed by worldwide providing a broad array of financial services, including a regulatory board that approves all changes to rules over $12 billion invested in hedge funds. Credit Suisse First governing construction and calculation. This regulatory board should not have a material interest in the performance i Boston s part of the Credit Suisse Group, one of the world's of the index. leading financial services groups. CSFB/Tremont Hedge Fund Index Specifications Tremont Capital Management, Inc., a subsidiary of The industry’s first asset-weighted hedge fund index Oppenheimer Funds, is a pioneer in the alternative investment advisory business, and has over $8 billion under advisement. Provides investors with the first suite of indices designed from the The Tremont TASS database is regarded as the largest and most ground up to provide meaningful performance measurement—not authoritative compendiums of hedge fund information available.. built around an investable product. Composite Index comprised of ten style-based sector indices For Additional Information CSFB/Tremont Index LLC Funds drawn from the TASS database of approximately 3000 funds New York: Oliver Schupp (+1) 212-538-8179 Selection universe consists of funds meeting CSFB/Tremont Index Website: www.hedgeindex.com minimum criteria: Bloomberg: CTHI <GO> – Timely and accurate NAV reporting—every month Reuters: CSFBHEDGE – Audited financial statements – At least $10 million under management – One-year track record (discretionary exceptions for funds with more than $500 million under management) Important Notice THIS DOCUMENT IS FOR INFORMATIONAL PURPOSES ONLY. THE ASSUMPTIONS AND PARAMETERS USED ARE NOT THE ONLY ONES THAT MIGHT REASONABLY HAVE BEEN SELECTED AND THEREFORE NO GUARANTEE IS GIVEN AS TO THE ACCURACY, COMPLETENESS, OR REASONABLENESS OF ANY SUCH QUOTATIONS, DISCLOSURE OR ANALYSES. NO REPRESENTATION OR WARRANTY IS MADE THAT ANY INDICATIVE PERFORMANCE OR RETURN INDICATED WILL BE ACHIEVED IN THE FUTURE. THE INFORMATION CONTAINED HEREIN IS NOT AND SHALL NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY SHARES, LIMITED PARTNERSHIP INTERESTS OR OTHER SECURITIES IN ANY OF THE INVESTMENT FUNDS REFERRED TO HEREIN. ANY OFFER TO SELL SUCH SHARES, LIMITED PARTNERSHIP INTERESTS OR OTHER SECURITIES CAN BE MADE BY PROSPECTUS OR PRIVATE PLACEMENT MEMORANDUM ONLY.
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