NEW YORK, Jan. 22, 2014 /PRNewswire/ -- Credit Suisse Asset Management today released the 2013 Liquid Alternative Beta Performance Review. The paper examines key factors that drove liquid alternative strategy performance in 2013 and explores some of the noteworthy trends that could continue to play out in 2014.
Highlights from the report include:
- Event Driven was the best performing LAB strategy, finishing up 11% due primarily to Russell 2000 and iBoxx High Yield Bond exposures;
- Credit Suisse's unique 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% and 7.0% respectively; and
- 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 favorable economic environment and excess cash on company balance sheets.
The paper can be downloaded from the Education section on www.credit-suisse.com/lab. Additional performance and statistics can also be found online at www.credit-suisse.com/lab or on Bloomberg at < ILAB >.
About LAB Indices
The LAB series of indices seek to replicate the aggregate return profiles of hedge fund strategies using liquid instruments. LAB indices are priced daily and constructed using an objective and transparent rules-based methodology, making them ideal candidates for index-linked products.
The LAB series includes six separate indices which are distinguishable in terms of their level of granularity, reflecting the belief that the various strategies within the hedge fund industry are exposed to different risks and as such need to be modeled separately:
- 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 Credit Suisse Hedge Fund Index, Bloomberg ticker, CSLABLS;
- The Credit Suisse Event Driven Liquid Index seeks to reflect the return of hedge funds as represented by the Event Driven sector of the Credit Suisse Hedge Fund Index, Bloomberg ticker, CSLABED;
- 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;
- The Credit Suisse Liquid Alternative Beta Index seeks to reflect the return of the overall hedge fund industry, as represented by the Credit Suisse Hedge Fund Index, by combining the Long/Short, Event Driven and Global Strategies Liquid Index models, Bloomberg ticker, CSLAB;
- 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; and
- 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 Credit Suisse Hedge Fund Indexes. As the industry's premier asset-weighted hedge fund indexes, the 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 Credit Suisse Hedge Fund Indexes -- including research, fund performance and constituent fund information -- can be found at www.hedgeindex.com. Credit Suisse Asset Management, LLC is a subsidiary of Credit Suisse and is headquartered at 1 Madison Avenue, New York, NY 10010-3629.
About Credit Suisse AG
Credit Suisse AG is one of the world's leading financial services providers and is part of the Credit Suisse group of companies (referred to here as 'Credit Suisse'). As an integrated bank, Credit Suisse is able to offer clients its expertise in the areas of private banking, investment banking and asset management from a single source. Credit Suisse provides specialist advisory services, comprehensive solutions and innovative products to companies, institutional clients and high net worth private clients worldwide, and also to retail clients in Switzerland. Credit Suisse is headquartered in Zurich and operates in over 50 countries worldwide. The group employs approximately 46,400 people. The registered shares (CSGN) of Credit Suisse's parent company, Credit Suisse Group AG, are listed in Switzerland and, in the form of American Depositary Shares (CS), in New York. Further information about Credit Suisse can be found at www.credit-suisse.com.
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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. It is not possible to invest in any of the indexes referred to herein. 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.
Certain information contained in this document constitutes "Forward-Looking Statements" (including observations about markets and industry and regulatory trends as of the original date of this document), which can be identified by the use of forward-looking terminology such as "may", "will", "should", "expect", "anticipate", "target", "project", "estimate", "intend", "continue" or "believe", or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties beyond our control, actual events, results or performance may differ materially from those reflected or contemplated in such forward-looking statements. Readers are cautioned not to place undue reliance on such statements. Credit Suisse has no obligation to update any of the forward-looking statements in this document.
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