The Credit Suisse LAB Liquid Indices posted negative performance in July according to Dr. Jordan Drachman, Head of Research for Alternative Beta Strategies at Credit Suisse.
Dr. Drachman noted, "The Credit Suisse Liquid Alternative Beta Index ("CSLAB"), which aims to reflect the performance of the overall hedge fund industry, generated negative performance in July, finishing down 0.95% for the month. The Long/Short Equity sector saw the most significant declines, finishing down 1.69% as uncertainty regarding Greek Debt and U.S. debt ceiling negotiations outshone a generally positive Q2 earnings season. Despite July losses, the strategy remains up 3.43% year-to-date."
About LAB Indices
The LAB series of indices seek to replicate the aggregate return profiles of hedge fund strategies using liquid, tradable instruments. LAB indices are priced daily and constructed using an objective and transparent rules-based methodology, making them ideal candidates for index-linked products that enable a range of applications, including liquidity management, tactical risk management, portfolio optimization and hedging.
Performance for the LAB indices is shown below. Performance, descriptions, statistics and downloadable price history can be found on the Credit Suisse Alternative Beta website, www.credit-suisse.com/alternativebeta or on Bloomberg at < ILAB >.
Jul-11 Jun-11 YTD
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Credit Suisse Liquid Alternative Beta Index -0.95% -0.58% 2.46%
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Credit Suisse Long/Short Liquid Index -1.69% -0.36% 3.43%
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Credit Suisse Global Strategies Liquid Index -0.60% -0.27% 2.10%
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Credit Suisse Event Driven Liquid Index -1.11% -1.43% 2.80%
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Credit Suisse Merger Arbitrage Liquid Index -0.75% -0.73% 3.69%
The LAB series includes five separate indices which are distinguishable in terms of their level of granularity, reflecting the belief that the various strategies within the hedge fund industry are exposed to different risks and as such need to be modeled separately:
June 2011 marked the three year anniversary of the Credit Suisse Long/Short Liquid Index which seeks to reflect the return of hedge funds as represented by the Long/Short Equity sector of the Dow Jones Credit Suisse Hedge Fund Index. Bloomberg ticker, CSLABLS;
The Credit Suisse Event Driven Liquid Index seeks to reflect the return of hedge funds as represented by the Event Driven sector of the Dow Jones Credit Suisse Hedge Fund Index, Bloomberg ticker, CSLABED and
The Credit Suisse Global Strategies Liquid Index seeks to reflect the return of all remaining hedge fund strategies not defined as Long/Short or Event Driven, Bloomberg ticker, CSLABGS;
The Credit Suisse Liquid Alternative Beta Index seeks to reflect the return of the overall hedge fund industry, as represented by the Dow Jones Credit Suisse Hedge Fund Index, by combining the Long/Short, Event Driven and Global Strategies Liquid Index models. Bloomberg ticker, CSLAB;
The Credit Suisse Merger Arbitrage Liquid Index seeks 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.
The LAB indices are benchmarked to the market-leading Dow Jones Credit Suisse Hedge Fund Indexes. As the industry's premier asset-weighted hedge fund indexes, the Dow Jones Credit Suisse Hedge Fund Index platform consists of a range of geographical and strategy-specific hedge fund indexes that are constructed from a proprietary database of more than 9,000 hedge funds which seeks to provide the most accurate representation of the hedge fund universe. Additional information about the Dow Jones Credit Suisse Hedge Fund Indexes -- including research, fund performance and constituent fund information -- can be found at www.hedgeindex.com .
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