Credit Suisse To Launch First Hedge Fund Replicator In US

Feb 15 2011 | 8:34am ET

Credit Suisse will release a leveraged version of its merger arbitrage exchange-traded note which was launched last year and has already attracted $53 million.

The bank will list its 2x Monthly Leveraged Credit Suisse Merger Arbitrage Liquid Index (Net) ETN on the New York Stock Exchange later this month. It will be the first listed hedge fund replicator in the US.

The ETN tracks an index that mechanically targets and buys companies about to be acquired while shorting the acquiring companies.

The ETN resets on a monthly basis and has a 20-year maturity but Michael Clark, managing director, structured products at Credit Suisse in New York, told Risk.net the non-leveraged version of the ETN has attracted interest from funds of funds which use it on a short-term basis. It has also been used by registered investment advisers and private banking clients. Credit Suisse has also done over-the-counter deals on the strategy.

“The strategy is very attractive from a risk return standpoint. The volatility is around 4-5% – around a third of the volatility of the S&P 500 – and the returns are about 7.5%. That is a very good ratio, and if you have a low-volatility strategy it lends itself to leverage," says Clark.

Credit Suisse has AUM of about $300 million in the ETN market, which it entered a year ago.


In Depth

bfinance: Fees Falling Across Asset Classes, Yet Overall Investor Costs Still Climbing

May 16 2017 | 9:53pm ET

Despite unprecedented attention on fees, new research from investment consultancy...

Lifestyle

CFA Institute To Add Computer Science To Exam Curriculum

May 24 2017 | 9:25pm ET

Starting in 2019, financial industry executives sitting for the coveted Chartered...

Guest Contributor

Risk-Based Compliance: Why Oversight Of Outsourcing Is Critical

May 10 2017 | 7:02pm ET

Compliance is notoriously one of the trickiest middle office functions for funds...

 

From the current issue of