Dr. Jordan Drachman Opalesque Industry Update - The Credit Suisse LAB Index was down 0.39% in November according to Dr. Jordan Drachman, Head of Research for Alternative Beta Strategies at Credit Suisse.
Dr. Drachman noted, “The Credit Suisse Liquid Alternative Beta Index (“CSLAB”), which aims to reflect the performance of the overall hedge fund industry, finished down 0.39% in November. Despite the decline, three of the five sectors posted positive performance. Merger Arbitrage was the best performer, finishing up 0.36%, and is currently the highest performing sector year-to-date, up 3.95%. Meanwhile, Event Driven was the lowest performing strategy, down 1.57% for the month.”
Research, performance, descriptions, statistics and downloadable price history can be found on the Credit Suisse Alternative Beta website, www.credit-suisse.com/alternativebeta.
the belief that the various strategies within the hedge fund industry are exposed to different risks and as such need to be modeled separately:
1. The Credit Suisse Long/Short Liquid Index which seeks to reflect the return of hedge funds as represented by the Long/Short Equity sector of the Dow Jones Credit Suisse Hedge Fund Index. Bloomberg ticker, CSLABLS;
2. The Credit Suisse Event Driven Liquid Index seeks to reflect the return of hedge funds as represented by the Event Driven sector of the Dow Jones Credit Suisse Hedge Fund Index, Bloomberg ticker, CSLABED and
3. The Credit Suisse Global Strategies Liquid Index seeks to reflect the return of all remaining hedge fund strategies not defined as Long/Short or Event Driven, Bloomberg ticker, CSLABGS;
4. The Credit Suisse Liquid Alternative Beta Index seeks to reflect the return of the overall hedge fund industry, as represented by the Dow Jones Credit Suisse Hedge Fund Index, by combining the Long/Short, Event Driven and Global Strategies Liquid Index models. Bloomberg ticker, CSLAB;
5. The Credit Suisse Merger Arbitrage Liquid Index seeks to gain broad exposure to the Merger Arbitrage strategy using a pre-defined quantitative methodology to invest in a liquid, diversified and broadly representative set of announced merger deals, Bloomberg ticker, CSLABMA.
6. The Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest range of asset classes including: equities, fixed income, commodities and currencies, Bloomberg ticker, CSLABMF.
The LAB indices are benchmarked to the market-leading Dow Jones Credit Suisse Hedge Fund Indexes. As the industry’s premier asset-weighted hedge fund indexes, the Dow Jones Credit Suisse Hedge Fund Index platform consists of a range of geographical and strategy-specific hedge fund indexes that are constructed from a proprietary database of more than 9,000 hedge funds which seeks to provide the most accurate representation of the hedge fund universe. Additional information about the Dow Jones Credit Suisse Hedge Fund Indexes -- including research, fund performance and constituent fund information -- can be found at www.hedgeindex.com. Corporate website: Source