Friday, 25 July 2014
Last updated 1 hour 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.”
Jul 8 2014 | 10:48am ET
The surge in derivatives regulation is among the most complex challenges facing the financial services industry today. Northern Trust’s Joshua Satten recently spoke with FINalternatives to share insights into the challenges presented by new regulation and explore how the industry is responding. Read more…