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April 01, 2011

Dow Jones Credit Suisse Completes Semi-Annual Rebalancing of their Hedge Fund Indexes

Credit Suisse Index Co., LLC announced that as of April 1, 2011, the Dow Jones Credit Suisse AllHedge Index (“SECTAH”), the Dow Jones Credit Suisse Blue Chip Hedge Fund Index (“INVX”) and the Dow Jones Credit Suisse LEA Hedge Fund Index (“LEA”) completed their routine semi-annual rebalancing of funds.

 

The Dow Jones Credit Suisse family of hedge fund indexes includes four separate indexes. The indexes are constructed on an objective, rules-based methodology, which includes the following criteria:

·        Funds for SECTAH and INVX are selected from the Dow Jones Credit Suisse Hedge Fund Index (the “Broad Index”).

·         Funds for SECTAH generally represent the largest eligible funds in each of the ten sectors weighted according to the sector weights of the Broad Index.

·        Funds for INVX generally represent the six largest eligible open funds in each of the ten sectors.

·        Funds for LEA generally represent the largest eligible funds in each of the three regions in the LEA investable index universe.

·        Funds are determined by application of construction rules.

 

The fifteen funds added in SECTAH were: Canyon Capital Arbitrage Fund (Cayman) Ltd., Dialectic Antithesis Offshore Ltd., Covepoint Emerging Markets Macro Overseas Fund Ltd., Archipel, PIMCO Unconstrained Bond Fund, BlackRock Global Ascent Ltd., MLM Macro - Peak (Lyxor MAC), HSBC GIF - Global Macro, Odey European Inc., AlphaGen Octanis Fund, Sandler Offshore Fund Inc., MAN AHL Diversified PCC Limited, Graham Global Investment Fund II Ltd - Proprietary Matrix Portfolio (10V), Nektar (Bermuda) Ltd., and Mariner Atlantic Ltd.

 

As of April 1, SECTAH comprises of 82 constituent hedge funds.

 

The nine funds added in INVX were: Investcorp Silverback Arbitrage Fund Ltd., Dialectic Antithesis Offshore Ltd., Covepoint Emerging Markets Macro Overseas Fund Ltd., Archipel, PIMCO Unconstrained Bond Fund, BlackRock Global Ascent Ltd., MLM Macro - Peak (Lyxor MAC), HSBC GIF - Global Macro, and MAN AHL Diversified PCC Limited.

 

As of April 1, INVX comprises 60 constituent hedge funds.

 

The two funds added in LEA were: HSBC India Alpha Fund and Fox Growth Fund Inc.

 

As of April 1, LEA comprises 30 constituent hedge funds.

 

The new constituent funds were added as of April 1, 2011.

 

After the rebalancing, the sector weightings for SECTAH are as follows:

 

 

Sector Weights

At April 1, 2011 Rebalancing

Sector Weights

At October 1, 2010 Rebalancing

Convertible Arbitrage

1.68%

1.78%

Dedicated Short

0.20%

0.21%

Emerging Markets

7.23%

7.56%

Equity Market Neutral

2.19%

2.13%

Event Driven

25.14%

27.03%

Fixed Income Arbitrage

4.95%

3.44%

Global Macro

19.61%

18.40%

Long/Short Equity

20.83%

22.21%

Managed Futures

4.97%

3.89%

Multi-Strategy

13.19%

13.36%

 

After the rebalancing, the sector weightings for INVX are as follows:

 

 

Sector Weights

At April 1, 2011 Rebalancing

Sector Weights

At October 1, 2010 Rebalancing

Convertible Arbitrage

3.00%

3.00%

Dedicated Short

0.69%

0.65%

Emerging Markets

9.43%

9.91%

Equity Market Neutral

3.17%

4.03%

Event Driven

21.00%

21.00%

Fixed Income Arbitrage

3.05%

2.01%

Global Macro

15.99%

10.39%

Long/Short Equity

16.66%

23.26%

Managed Futures

15.45%

13.80%

Multi-Strategy

11.55%

11.95%

 

After the rebalancing, the regional breakdown for LEA is as follows:

 

 

Sector Weights

At April 1, 2011 Rebalancing

Sector Weights

At October 1, 2010 Rebalancing

Asia

40.00%

40.00%

EEMEA

23.33 %

20.00%

Latin America

36.67%

40.00%

 


Contact Information

 

Credit Suisse

Katherine Herring, Corporate Communications, +1-212-325-7545, katherine.herring@credit-suisse.com

 

Dow Jones Indexes

Rich Silverman, Director, Global PR, +1-212-299-2414 richard.silverman@djindexes.com

 

About Dow Jones Indexes

Dow Jones Indexes (www.djindexes.com) is a leading full-service index provider that develops, maintains and licenses indexes for use as benchmarks and as the basis of investment products. Best-known for the Dow Jones Industrial Average, Dow Jones Indexes offers more than 130,000 equity indexes as well as fixed-income and alternative indexes, including measures of hedge funds, commodities and real estate. Dow Jones Indexes employs clear, unbiased and systematic methodologies that are fully integrated within index families. Dow Jones Indexes is part of a joint venture company owned 90 percent by CME Group Inc. (www.cmegroup.com) and 10 percent by Dow Jones & Company, Inc. (www.dowjones.com), a News Corporation company (NASDAQ: NWS, NWSA; ASX: NWS, NWSLV; www.newscorp.com).

 

About Credit Suisse AG

Credit Suisse AG is one of the world's leading financial services providers and is part of the Credit Suisse group of companies (referred to here as 'Credit Suisse'). As an integrated bank, Credit Suisse offers clients its combined expertise in the areas of private banking, investment banking and asset management. Credit Suisse provides advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as to retail clients in Switzerland. Credit Suisse is headquartered in Zurich and operates in over 50 countries worldwide. The group employs approximately 50,500 people. The registered shares (CSGN) of Credit Suisse's parent company, Credit Suisse Group AG, are listed in Switzerland and, in the form of American Depositary Shares (CS), in New York. Further information about Credit Suisse can be found at www.credit-suisse.com.

 

Asset Management

In its Asset Management business, Credit Suisse offers products across a broad spectrum of investment classes, including hedge funds, credit, index, real estate, commodities and private equity products, as well as multi-asset class solutions, which include equities and fixed income products. Credit Suisse’s Asset Management business manages portfolios, mutual funds and other investment vehicles for a broad spectrum of clients ranging from governments, institutions and corporations to private individuals. With offices focused on asset management in 19 countries, Credit Suisse’s Asset Management business is operated as a globally integrated network to deliver the bank’s best investment ideas and capabilities to clients around the world.

 

All businesses of Credit Suisse are subject to distinct regulatory requirements; certain products and services may not be available in all jurisdictions or to all client types.

 

Copyright © 2011, CREDIT SUISSE GROUP AG and/or its affiliates.  All rights reserved.

 

Certain information contained in this document constitutes “Forward-Looking Statements” (including observations about markets and industry and regulatory trends as of the original date of this document), which can be identified by the use of forward-looking terminology such as “may”, “will”, “should”, “expect”, “anticipate”, “target”, “project”, “estimate”, “intend”, “continue” or “believe”, or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties beyond our control, actual events, results or performance may differ materially from those reflected or contemplated in such forward-looking statements. Readers are cautioned not to place undue reliance on such statements. Credit Suisse has no obligation to update any of the forward-looking statements in this document.

This document was produced by and the opinions expressed are those of Credit Suisse as of the date of writing and are subject to change without obligation to update. It has been prepared solely for information purposes and for the use of the recipient. It does not constitute an offer or an invitation by or on behalf of Credit Suisse to any person to buy or sell any security. Any reference to past performance is not a guide or indicator to future performance. The information and analysis contained in this publication have been compiled or arrived at from sources believed to be reliable but Credit Suisse does not make any representation as to their accuracy or completeness and does not accept liability for any loss arising from the use hereof.

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© 1999-2014 Credit Suisse Hedge Index LLC. All rights reserved.Credit Suisse Hedge Fund Index was formerly known as Dow Jones Credit Suisse Hedge Fund Index from June 22, 2010 to September 15, 2013. Credit Suisse AllHedge Index was formerly known as Dow Jones Credit Suisse AllHedge Index from June 22, 2010 to September 15, 2013. Credit Suisse Blue Chip Hedge Fund Index was formerly known as Dow Jones Credit Suisse Blue Chip Hedge Fund Index from June 22, 2010 to September 15, 2013.