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Credit Suisse and AlphaSimplex Launch the Industry's First 130/30 Index
New York, October 1, 2007 Credit Suisse and AlphaSimplex Group have launched the industry's first family of benchmarks developed specifically for 130/30 managers. Until now, 130/30 managers have benchmarked performance against traditional long-only indices, which are not designed to capture the long-short nature of 130/30 type activities. The new 130/30 indices will help the investment community more precisely measure and manage the exposures, and benchmark the performance, of their invested assets.
The "Credit Suisse 130/30 Index" family, developed by Credit Suisse in collaboration with AlphaSimplex Group's risk analytics division, will feature both an Investable index and a Look-Ahead index, and will cover a full range of investment styles, market capitalizations and geographies. The indices will be computed on a daily basis, and the calculation methodology will be transparent and replicable. Both Credit Suisse and AlphaSimplex will offer synthetic exposures and customized solutions related to the Investable indices to their respective institutional and other clients.
The 130/30 Index family will be managed by an Index Committee chaired by Dr. Andrew Lo, Chairman and Chief Scientific Officer of AlphaSimplex Group, and Harris & Harris Group Professor at the MIT Sloan School of Management. The Committee Vice Chairman will be Mr. Pankaj Patel, Director of Quantitative Research at Credit Suisse. Leading industry experts will also be invited to join the Index Committee.
Dr. Andrew Lo said, "Traditional benchmarks are almost always static groupings of securities, so what we're doing - creating an index from a dynamic strategy that we place in the public domain - is a significant innovation. We hope that the increased transparency of these 130/30 indices will give investors and managers greater clarity about the risks and rewards of these hybrid products."
Pankaj Patel said, "We are giving 130/30 managers a benchmark against which to measure their portfolios, taking into account the actual constraints they face. While the Investable index will represent a liquid tradable instrument, the Look-Ahead index will indicate the maximum potential alpha available to these types of strategies for a given set of constraints."
Philip Vasan, Head of Prime Services and Capital Services at Credit Suisse, said, "From the investor's perspective, the Credit Suisse 130/30 Index family will define a more efficient frontier that reflects the emergence of these products, which, in turn, will allow investors to measure more precisely the alpha and the betas they are receiving."
Enquiries:
- Tyrene Frederick, Credit Suisse, Tel. +212 538 5767
- Barbara Jansen, AlphaSimplex Group, Tel. +617 475 7100
- About Credit Suisse
- As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 45,000 people. Credit Suisse's parent company, Credit Suisse Group, is a leading global financial services company headquartered in Zurich. Credit Suisse Group's registered shares (CSGN) 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.
About AlphaSimplex Group
Founded in 1999 by Dr. Andrew W. Lo, AlphaSimplex Group is an SEC-registered investment advisory firm based in Cambridge, Massachusetts specializing in quantitative global macro and global tactical asset allocation strategies, beta-replication products, and absolute-return risk analytics. Last month, AlphaSimplex entered into an agreement to be acquired by Natixis Global Asset Management, LLC. The transaction is expected to close later this year. Additional information about AlphaSimplex can be found at www.alphasimplex.com.
