Wednesday, 27 August 2014
Last updated 26 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.”
Aug 25 2014 | 11:21am ET
As many of you know, FINalternatives was recently acquired by the owners of Futures magazine, a firm called The Alpha Pages LLC. Today marks the soft-launch of a new sister site for both publications. As its name suggests, The Alpha Pages will cover all types of alternative investments, going far beyond the more well-known ones such as hedge funds and private equity. Read more…
Commodities/Futures magazine launched at the precipice of a revolution in the futures industry—really a revolution in the idea of risk management—that would move it from a small niche industry to ...