How is the index constructed?
The first step in constructing the Credit Suisse Hedge Fund Indexis defining the universe it is measuring.Credit Suisse Hedge Index LLC uses the Credit Suisse Hedge Fund Database, which tracks more than 9,000 funds. The index universe is defined as only the funds with a minimum of US $50 million assets under management ("AUM"), a minimum one-year track record, and current audited financial statements. Funds are separated into ten primary subcategories based on their investment style. The index in all cases represents at least 85% of the AUM in each respective category of the index universe. The methodology analyzes the percentage of assets invested in each subcategory and selects funds for the index based on those percentages, matching the shape of the index to the shape of the universe. The index is calculated and rebalanced monthly. Funds are reselected on a quarterly basis as necessary. Please see the Methodology section of this site or the Credit Suisse Hedge Fund Indexes Rules Document for further information.
How does the Credit Suisse Hedge Fund Index differ from other hedge fund indexes on the market?
The Credit Suisse Hedge Fund Index is one of the leading asset-weighted indexes. The index uses a rules-based construction methodology, identifies its constituent funds, and seeks to reduce subjectivity in the index member selection process. It aims to provide maximum representation of the index universe.
How many funds are in the universe?
The Credit Suisse Hedge Fund Database, which tracks more than 9,000 funds, is used to determine the index universe. This selection universe is defined as only the funds with a minimum of US $50 million under management, a minimum one-year track record, and current audited financial statements.
Does the Credit Suisse Hedge Fund Index use net or gross data?
Performance data used in the index is net of all fees.
Is there a minimum number of funds included in the Credit Suisse Hedge Fund Index?
The number of funds included in the index is dictated by the AUM of each strategy within the index universe. The Index will always endeavor to represent at least 85% of AUM in each universe strategy.
Are funds of funds included in the index?
No. Funds of funds are not included.
Are funds that are closed to new investment included in the index?
Yes. In order to insure that the index is an accurate barometer of hedge fund performance, closed funds are included.
Does the index include hedge funds from all over the world, or does it include only U.S. hedge funds?
The index includes funds worldwide.
When does the index begin?
The index is calculated from January 1994.
Does the index include managed accounts?
The index only uses the AUM and performance data of actual hedge funds.
How often will the index be reselected and how will this be done?
The index will be reselected on a quarterly basis. The number of funds is determined by the top 85th percentile of AUM in each strategy. The qualifying fund size therefore varies at each selection and by strategy.
When is a fund removed from the index?
A fund will be dropped from the index in the following circumstances: The fund fails to report monthly performance and AUM for two consecutive months; the fund fails to comply with the rules relating to the provision of financial information; the fund ceases operation.
How are new funds added to the index?
New funds are added to the index on a "going-forward" basis only. Funds are selected by demonstrating sufficient AUM to qualify in the top 85th percentile of aggregate AUM in that fund's strategy, and by satisfying all other rules as specified in the index Construction document. Please see the Methodology section of this site or the Credit Suisse Hedge Fund Indexes Rules Document for further information.
How long a track record must a fund have to be included in the index?
Funds must have a current audited financial statement. Most funds prepare audited financials on an annual basis. However, funds with assets of US $500 million or more under management that have less than a one year track record can be included in the index, provided that they can supply audited financials or comparable verification of performance and assets.
Is the historic Index data adjusted as new funds are added to the index?
No. Any new funds added to the index will contribute to the index on a going-forward basis only. The historic monthly figures will not be adjusted.
Will there be corrections to the index?
Any adjustments will be made on a "going-forward" basis only, as is the typical practice with other major hedge fund indexes.
How soon after month end will the new index figures be released?
Index figures are typically released on the 15th of each month or the subsequent business day (should the 15th fall on a holiday or weekend).
Will the performance and asset figures of the funds denominated in currencies other than U.S. dollars be converted into U.S. dollars?
Yes. All figures are converted into U.S. dollars.
Is the index affected by survivorship bias?
Most indexes are affected by some form of survivorship bias. In order to minimize this effect, the index does not remove funds in the process of liquidation, and therefore captures all of the potential negative performance before a fund ceases to operate.