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

Exotic Assets: Investing In Rare Violins

Jan 17 2017 | 4:43pm ET

By definition, alternative investments include exotic assets far beyond your typical...

Lifestyle

'Tis the Season: Wall Street Holiday Parties Back In Fashion

Dec 22 2016 | 9:23pm ET

Spending on Wall Street holiday parties has largely returned to pre-2008 levels...

Guest Contributor

The Trump Administration: What It Could Mean for Carried Interest

Jan 19 2017 | 5:25pm ET

The arrival of the Trump administration brings the potential for a repeal of the...

 

From the current issue of

As initial anxiety over Donald Trump’s victory gave way to market euphoria in the days following the election, there was a casualty. Gold prices.