Research, studies, publications Press Release
Credit Suisse launches Man AHL TargetRisk Core Custom Index
This is the first index linked to one of Man Group's renowned quantitative long only multi-asset strategies. The TRCC Index brings Man Group’s USD 9.5 billion TargetRisk program to investors in a structured product format.
The TRCC Index is a systematic, long-only, multi-asset strategy, implemented on Credit Suisse's proprietary execution and delivery platform, QUANTUM, and balanced in accordance with portfolio weighting suggestions provided by Man AHL. The index aims to provide investors with a core, balanced portfolio allocation by investing in global bonds and equities through futures contracts, and scaling allocations to these asset classes based on market volatility. Risk management is central to the strategy’s approach, with the aim of reducing overall drawdowns and exposure to swings in volatility while providing excess returns over the long term, regardless of market conditions. To achieve this, the strategy employs three proprietary risk-managed overlays that engage systematically based on the market environment: volatility, momentum and correlation.
Man Group is a top-tier asset manager with over 30 years of quantitative investment management experience. Credit Suisse is a leading wealth manager with specialist investment banking capabilities and extensive experience in delivering index-based solutions to clients.
Delivery via QUANTUM gives increased investment flexibility, allowing investors to access the underlying strategy in a wide range of formats such as capital-protected product and options. This collaboration is a testament to QUANTUM's robust framework, technology and control processes, and its ability to handle the most sophisticated needs of asset allocators.
Clement Florentin, Head Investment Solutions Structuring, Asia ex-Japan at Credit Suisse, commented: "In Asia Pacific, where clients separate allocations into hedge funds, discretionary mandates and quantitative strategy indices, the TRCC Index sets a new trend by bridging the gap between the fund and the structured product world. We believe this new index offers clients a rare opportunity to invest with a top-tier manager with structured product payoffs. This proposition has already attracted sizeable seeding investment from Asia".