Thursday, 2 October 2014
Last updated 2 min ago
Oct 2 2007 | 9:53am ET
Managers who used to benchmark their 130/30 strategies to long-only indices can now see their strategies rise or sink against a more comparable benchmark, thanks to Credit Suisse and AlphaSimplex Group.
The two firms have launched what they deem “the industry's first family of benchmarks developed specifically for 130/30 managers.” The Credit Suisse 130/30 Index family will feature both an investable index and a “look-ahead index,” and will cover a full range of investment styles, market capitalizations and geographies.
“While the Investable index will represent a liquid tradable instrument, the Look-Ahead index will indicate the maximum potential alpha available to these types of strategies for a given set of constraints," said Pankaj Patel, director of quantitative research at CS.
The indices will be computed on a daily basis, and the calculation methodology will be transparent and replicable. Both firms will offer synthetic exposures and customized products related to the investable indices to their respective institutional and other clients. The 130/30 Index family will be managed by an index committee chaired by Andrew Lo, chairman and chief scientific officer of AlphaSimplex, and Patel, vice chairman.
“Traditional benchmarks are almost always static groupings of securities, so what we’re doing—creating an index from a dynamic strategy that we place in the public domain—is a significant innovation,” said Lo. “We hope that the increased transparency of these 130/30 indices will give investors and managers greater clarity about the risks and rewards of these hybrid products.”
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
Sep 30 2014 | 9:29am ET
The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…
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