Credit Suisse Launches HS Market Neutral Index
Credit Suisse is pleased to announce today the launch of its global HS Market Neutral Index, the latest index in the HOLTSelectTM series. The index offers investors the opportunity to invest in a rules-based market neutral strategy with low correlation to other asset classes. In addition, market risk is reduced by ensuring both sector and region neutrality.
By using Credit Suisse’s HOLT framework to identify key investment opportunities, the index gives access to HOLT’s database of over 18,000 stocks from more than 55 countries. The index is constructed from an initial universe of the top 275 North American, 300 European and 175 Japanese stocks by market cap (and by market cap and liquidity for Europe). This universe is then divided into ten sectors, including energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, information technology, telecoms and utilities. The long portfolio is constructed by taking the top ranking 10 percent of each sector.
The universe is further divided into 50 sector and region categories, using five currency regions and the ten sectors above. Shorts are selected by pairing the longs with the lowest ranking stocks in the same sectors and regions. The resulting index has an equal number of long and short stocks and ensures there is no currency, sector or regional bias.
Jessica Houtepen, Managing Director and Head of Global Equity Derivatives Structuring, said: “We’ve seen a strong demand from investors for a market neutral index with low realised volatility and reduced market risk, even more so given the current market conditions. Our Market Neutral Index has a low correlation with other asset classes and a strong historical performance, which provides a solid base for a range of structured products.”
David Holland, Managing Director and Co-Head of the HOLT Valuation and Analytics Group, said: “The world’s leading hedge fund managers use the HOLT CFROI® framework to analyse a company’s wealth creation performance and to evaluate forecast scenarios. They use HOLT factors to generate custom screens and score companies. The HOLTSelect series of indices satisfies retail and institutional investors’ strong appetite for investment products based on the HOLT framework.”
The HS Market Neutral Index, calculated by Standard & Poor’s and rebalanced on a quarterly basis, has a compounded annual return of 11.6% since January 1996. It is calculated in excess-return form, whereby the index measures the performance of an investment where no initial capital is required. The index has had no negative calendar year returns over the past 11 years, and has delivered positive excess returns in 81 percent of quarters.
Credit Suisse’s suite of HS indices has a strong history of generating alpha and significantly outperforming certain major benchmark indices worldwide. In addition to large institutional clients, smaller institutions and retail investors can now access investment portfolios generated from the HOLT framework via the HS Indices.
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