The Credit Suisse/Tremont Hedge Fund Index Group has launched the Credit Suisse/Tremont AllHedge Index, a new investible hedge fund index derived from the group’s Credit Suisse/Tremont Hed
The Credit Suisse/Tremont Hedge Fund Index Group has launched the Credit Suisse/Tremont AllHedge Index, a new investible hedge fund index derived from the group’s Credit Suisse/Tremont Hedge Fund Index.
The AllHedge Index aims to provide investors with a highly diversified asset-weighted investible indicator by providing access to a broad selection of funds in Credit Suisse/Tremont’s Sector Invest Indices.
‘We are pleased to announce the launch of the AllHedge Index, a highly diversified index encompassing all 10 sectors of the Credit Suisse/Tremont Sector Invest Indices,’ says Credit Suisse Index president Oliver Schupp.
‘AllHedge represents the overall performance of the hedge fund universe found in our Sector Invest Indices through a rules-based methodology that follows the sector weights of the broad index. AllHedge has an annualised net return of 9.13 per cent and was up 2.17 per cent net in September.’
The funds in the Credit Suisse/Tremont AllHedge Indices are selected from those included in the Sector Invest Indices, weighted according to the Credit Suisse/Tremont Hedge Fund Index, comprise the largest funds that are open to investment, and meet certain liquidity constraints in each of the 10 style-based sectors.
Constituent funds must provide timely performance reporting, audited financials and offering memorandum review for inclusion. AllHedge is fully rules-based with semi-annual rebalancing and monthly publishing of performance data.
The Credit Suisse/Tremont family of hedge fund indices comprises the Hedge Fund Index, an asset-weighted benchmark that measures hedge fund performance, the Blue Chip Investable Index, an investible index comprising 60 funds across the 10 style-based sectors in the broad index that are open to investment, and the Sector Invest Indices, which provide investment access to any of the 10 style-based sectors in the broad index on an individual basis.
The Credit Suisse/Tremont Hedge Fund Index is constructed using the Credit Suisse/Tremont database of more than 5,000 hedge funds and includes both open and closed funds located in the US and offshore, but does not include funds of funds. To qualify for inclusion in the index selection universe, a fund must have a minimum of USD50m under management, a 12-month track record and audited financial statements.
Index funds are selected using a formula based on assets under management, which ensures the index represents at least 85 per cent of total assets in each of 10 strategy-based sectors in the selection universe. To minimise survivorship bias, funds are not excluded until they liquidate or fail to meet the reporting requirements. The index is calculated as a total return index on a monthly basis, adjusted for asset inflow and outflow, including reselection on a quarterly basis.