Credit Suisse has announced the launch of a Global Macro Replication Index which aims to capture the risk/return characteristics of the Credit Suisse/Tremont Global Macro Hedge Fund Ind
Credit Suisse has announced the launch of a Global Macro Replication Index which aims to capture the risk/return characteristics of the Credit Suisse/Tremont Global Macro Hedge Fund Index.
The new index enables investors to gain liquid, transparent insight into the global macro hedge fund sector.
Credit Suisse says due to a frequent lack of transparency, hedge fund investors found themselves exposed to numerous unforeseen risks in 2008 and problems were only exacerbated when liquidity dried up just as investors needed it most. Despite the drawbacks, hedge fund returns remain positive relative to equities and hedge funds continue to serve as an effective portfolio diversifier.
Dr. Jordan Drachman, head of research for Credit Suisse Alternative Beta Strategies (pictured), says: ‘In the wake of current investor sentiment, replication strategies are gaining in popularity for their ability to provide similar risk/return characteristics to a well diversified portfolio of hedge funds, while avoiding certain drawbacks of hedge fund investing such as illiquidity, lack of transparency and headline risk. We are currently seeing increased interest in the Global Macro sector, as the strategy has a history of producing positive performance during market downturns and has been the top performing hedge fund sector since the inception of the Credit Suisse/Tremont Hedge Fund Index in 1994.’
The Global Macro Replication Index joins the existing Long/Short Equity Replication Index to become the second in a suite of alternative index replication products. Together, the indices offer insight to two of the largest and most popular hedge fund sectors in the current market environment.
Professor Bill Fung, a key research advisor to Credit Suisse’s alternative beta efforts, says: ‘In developing a replication index, it is imperative that researchers understand the in-depth intricacies of hedge fund sectors and individual manager performance. The team has access to superior data through the Credit Suisse/Tremont Hedge Fund Index. Together with regular contact with hedge fund managers, this combination provides practical insight into the behaviour of hedge fund strategies and adds a level of fundamental analysis to the quantitative construction of the index. This is particularly important in the global macro space which is dominated by managers that engage in dynamic strategies in an ever changing market environment; and these managers have done so successfully during very challenging times historically as well as more recently.’
Index values are finalised daily and quoted on Bloomberg under the symbol AIRI.
