According to a press release, the Credit Suisse 130/30 Index family 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 indexes will be computed on a daily basis, and the calculation methodology will be transparent and replicable, the release said. Both Credit Suisse and AlphaSimplex will offer synthetic exposures and customized solutions related to the Investable indexes to their respective institutional and other clients.
The 130/30 Index family will be managed by an Index Committee chaired by Andrew Lo, Chairman and Chief Scientific Officer of AlphaSimplex Group, and Harris & Harris Group Professor at the MIT Sloan School of Management. The Vice Chairman of the Committee will be Pankaj Patel, Director of Quantitative Research at Credit Suisse.
“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,” said Lo, in the press release. “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.”
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