Credit Suisse Responds To Hedge Index Confusion

Jul 24 2007 | 12:56pm ET

Seeking to resolve confusion and conflicting reports in the media and the blogosphere, the Credit Suisse Index Co. said that the collapse of two Bear Stearns hedge funds would have a minimal impact on its main index, but that its fixed-income arbitrage subindex was not so lucky.

The Bear Stearns High Grade Structured Credit Fund—the one deemed not quite a total loss by the New York investment bank last week—is one of 437 funds making up the Credit Suisse/Tremont Index, with a weight of less than 0.2%, Credit Suisse said today. As its collapse will “have limited impact on the overall performance” of the index, the June performance numbers released on July 16 will not be revised.

The Credit Suisse/Tremont Fixed Income Arbitrage Sector Invest Index was not so lucky: the Bear fund was one of just 10 components, with a weight of 9.86%. But CS notes that “on Monday morning, July 16, a value of ‘NA’ was reported for SECT FIARB as the performance of the Bear Stearns HGSC Fund was deemed to be of material importance to the calculation of the overall index and reported to be announced later that day by Bear Stearns.” When Bear did report, on July 17, it sent the fixed-income arb subindex down 5.98% for June. It is down 7.47% year-to-date.

CS said the Bear funds would not affect any of its other strategy subindices, nor its investable indices.


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

DarcMatter: The Top Trends in Alternative Investments for 2017

Jan 13 2017 | 8:22pm ET

The $7 trillion alternative investments industry is poised for continued growth...

 

From the current issue of

The healthcare sector went on a tear beginning in 2011, thanks in large part to the passage of the Affordable Care Act and its impending implementat