Hedge Funds Saw Overall Negative Returns in August Based on Credit Suisse Liquid Alternative Beta ('LAB') Index Performance
NEW YORK, Sept. 2 /PRNewswire/ -- Returns for the LAB Liquid Indices suggest that hedge funds were negatively impacted by broad market sell-offs in August, although certain sectors showed resilience amid the increased market volatility according to Jordan Drachman, Head of Research for Alternative Beta Strategies at Credit Suisse.
Dr. Drachman noted, "While the Credit Suisse Liquid Alternative Beta Index ("LAB Index") was down 1.14% in August, it outperformed the MSCI World, which fell 4.03%. Helping to minimize the losses of the LAB Index was the Global Macro Liquid Index, which posted slight gains of 0.69% for the month. Despite the month's negative returns, LAB remains largely positive year-to-date with three of the four LAB sector indices posting gains. The LAB Merger Arbitrage Index remains the best performing sector with year-to-date gains of 5.57% as a result of the recent increase in M&A activity."
About LAB Indices
LAB is a series of indices that seek to replicate the aggregate return profiles of alternative investment strategies using liquid, tradable instruments that are selected and weighted using an objective and transparent rules-based methodology. An algorithm determines the appropriate factors and weightings employed in seeking to replicate the returns of specific hedge fund strategies.
Performance for the LAB Indices (shown below) is calculated daily. Performance, descriptions, statistics and downloadable price history can be found on the Credit Suisse Alternative Beta website, www.credit-suisse.com/alternativebeta or on Bloomberg at (ILAB).
Credit Suisse Liquid Alternative Beta Index
Credit Suisse Long/Short Liquid Index
Credit Suisse Global Macro Liquid Index
Credit Suisse Event Driven Liquid Index
Credit Suisse Merger Arbitrage Liquid Index
The LAB family of indices includes five separate indices which are valued daily and returns listed on Bloomberg:
- 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. Bloomberg ticker, CSLAB;
- The Credit Suisse Long/Short Liquid Index 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;
- The Credit Suisse Global Macro Liquid Index seeks to reflect the return of hedge funds as represented by the Global Macro sector of the Dow Jones Credit Suisse Hedge Fund Index, Bloomberg ticker, CSLABGM;
- 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
- 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.
Credit Suisse Alternative Capital, Inc. is a subsidiary of Credit Suisse and is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
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