Hedge Funds Post Negative Returns in May, Based on Credit Suisse Liquid Alternative Beta ('LAB') Index Performance

Jun 02, 2010, 10:51 ET from Credit Suisse AG

NEW YORK, June 2 /PRNewswire-FirstCall/ -- May performance for the LAB Liquid Indices suggests that hedge fund performance was negative across most strategies, according to Jordan Drachman, Head of Research for Alternative Beta Strategies at Credit Suisse.

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Dr. Drachman noted, "The Credit Suisse Liquid Alternative Beta Index ("CSLAB") generated negative performance in May, returning -2.64% for the month, bringing year-to-date performance to +0.27%. All four LAB sector indices also posted negative performance in May, suggesting that hedge fund managers across different strategies suffered as a result of the month's increased market volatility. Despite negative returns, hedge funds appear to have outperformed global equity markets, as represented by the MSCI World Index, which lost -9.91% in May and is down 7.59% year-to-date."

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




LAB Long/Short Liquid Index




LAB Global Macro Liquid Index




LAB Event Driven Liquid Index




LAB Merger Arbitrage Liquid Index




The LAB family of indices includes five separate indices which are valued daily and returns listed on Bloomberg:

  1. The Liquid Alternative Beta Index seeks to reflect the return of the overall hedge fund industry as represented by the Credit Suisse/Tremont Hedge Fund Index. Bloomberg ticker, CSLAB;
  2. The Long/Short Liquid Index seeks to reflect the return of hedge funds as represented by the Long/Short Equity sector of the Credit Suisse/Tremont Hedge Fund Index, Bloomberg ticker, CSLABLS;
  3. The Global Macro Liquid Index seeks to reflect the return of hedge funds as represented by the Global Macro sector of the Credit Suisse/Tremont Hedge Fund Index, Bloomberg ticker, CSLABGM;
  4. The Event Driven Liquid Index seeks to reflect the return of hedge funds as represented by the Event Driven sector of the Credit Suisse/Tremont Hedge Fund Index, Bloomberg ticker, CSLABED and
  5. The Credit Suisse Merger Arbitrage Liquid Index aims 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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This document was produced by and the opinions expressed are those of Credit Suisse as of the date of writing and are subject to change without obligation to update. It has been prepared solely for information purposes and for the use of the recipient. It does not constitute an offer or an invitation by or on behalf of Credit Suisse to any person to buy or sell any security. Any reference to past performance is not a guide to future performance. The information and analysis contained in this publication have been compiled or arrived at from sources believed to be reliable but Credit Suisse does not make any representation as to their accuracy or completeness and does not accept liability for any loss arising from the use hereof.

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SOURCE Credit Suisse AG