Credit Suisse, AlphaSimplex Offers First 130/30 Index

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.”


In Depth

Fund Manager's Disease: Common Symptoms and Proposed Remedies

May 3 2016 | 6:11pm ET

The cadre of 25 research analysts at Murano Systems speaks with more than 150 investors...

Lifestyle

Point72's Cohen Donates $275M To Veterans Mental Health Network

Apr 6 2016 | 8:31pm ET

Billionaire hedge fund manager Steve Cohen has formed a non-profit aimed at treating...

Guest Contributor

Agecroft: Why NYCERS Should Reconsider Exiting All Hedge Funds

Apr 18 2016 | 5:51pm ET

The recent decision by the New York City Employment Retirement System to exit its...