The indexes are designed to replicate the performance of major hedge fund strategies as well as the overall hedge fund universe. The three new indexes – the Liquid Alternative Beta Index, the Event Driven Liquid Index, and the Merger Arbitrage Liquid Index – join the existing LAB Global Macro and Long/Short Liquid Indexes to provide insight into the performance of the overall hedge fund industry as well as the largest and most popular hedge fund sectors in the current market environment, according to a press release.
LAB is a series of indexes 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.
The LAB family of indexes includes five separate indexes which are valued daily with returns listed on Bloomberg:
- The Liquid Alternative Beta Index (the LAB Broad 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;
- 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;
- 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;
- 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
- 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.
More information is at http://credit-suisse.com/alternativebeta.
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