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Event driven best performing LAB strategy in 2013

Thu, 23/01/2014 - 11:39

Event driven was the best performing liquid alternative beta (LAB) strategy in 2013, finishing up 11 per cent due primarily to Russell 2000 and iBoxx High Yield Bond exposures, according to Credit Suisse Asset Management.

The firm’s 2013 Liquid Alternative Beta Performance Review, which examines key factors that drove liquid alternative strategy performance in 2013, says Credit Suisse's Illiquidity Premium factor also contributed positively to event driven strategy performance in 2013.
The weight of the Illiquidity Factor grew throughout the year, suggesting that managers in the space are taking greater illiquidity risk as they search for yield.
Systematic trading strategies, including managed futures and merger arbitrage, had a banner year, finishing up 7.5 per cent and 7.0 per cent respectively.
Looking ahead to 2014, managed futures could be well positioned to benefit from trends across asset classes while merger arbitrage could continue to benefit from a favourable economic environment and excess cash on company balance sheets.

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