How are the Dow Jones Credit Suisse AllHedge IndexesSM constructed?
The member funds in each of the individual Dow Jones Credit Suisse AllHedge Strategy IndexesSM represent approximately
the top 70% of eligible funds by assets under management (“AUM”) in the represented strategy,
subject to a minimum (where available) of 10 funds and a maximum of 25 funds per index.
On the basis that once an eligible fund is included in a particular strategy index, another eligible fund managed by the same
or an affiliated investment manager will not be included in the same strategy index.
The Dow Jones Credit Suisse AllHedge IndexSM is constructed by aggregating the ten strategy indexes. Please see the Methodology section of this site or the Dow Jones Credit Suisse AllHedge IndexesSM Rules Document for additional eligibility definitions, rules and technical specifications.
How do the Dow Jones Credit Suisse AllHedge IndexesSM differ from the Dow Jones Credit Suisse Hedge Fund IndexesSM?
The Dow Jones Credit Suisse AllHedge IndexesSM are derived from the Dow Jones Credit Suisse Hedge Fund IndexSM, but include only open, or investable, funds. When defining open funds and other terms for eligibility, Credit Suisse Hedge Index LLC relies on information provided to it, its affiliates and any third party advised by them. The Dow Jones Credit Suisse AllHedge IndexesSM can therefore include funds that may generally be closed. The Dow Jones Credit Suisse Hedge Fund Index includes closed funds. Funds in the Dow Jones Credit Suisse AllHedge IndexesSM are also selected solely from the set of funds that meet specified eligibility conditions.
How do the Dow Jones Credit Suisse AllHedge IndexesSM differ from other investable indexes on the market?
We believe the Dow Jones Credit Suisse AllHedge IndexesSM are the industry's most representative asset-weighted and fully investable strategy-based indexes. The member funds are subject to transparent and rules-based selection criteria; and the rules-based construction methodology, by which all member funds are selected, limits subjectivity in the selection process.
Do the Dow Jones Credit Suisse AllHedge IndexesSM use net or gross data?
Index data is net of all fees. Further, the Dow Jones Credit Suisse AllHedge IndexesSM are calculated net of a 0.07% per month index calculation fee.
Are funds of funds included in the Dow Jones Credit Suisse AllHedge IndexesSM?
Funds of funds are not included in the indexes.
Are funds that are closed included in the Dow Jones Credit Suisse AllHedge IndexesSM?
Funds that are generally closed for new investment may be included in the indexes.
Do the Dow Jones Credit Suisse AllHedge IndexesSM include hedge funds from all over the world, or do they include only U.S. hedge funds?
The indexes include funds worldwide.
When did the Dow Jones Credit Suisse AllHedge IndexesSM begin?
The indexes commenced with a starting value of 100.00 as of October 1, 2004.
Do the Dow Jones Credit Suisse AllHedge IndexesSM include managed accounts?
No, managed accounts are excluded from the Dow Jones Credit Suisse AllHedge IndexSM and the Dow Jones Credit Suisse Hedge Fund IndexSM.
If a fund manager has both a U.S. fund and an offshore fund, can both be included in the Dow Jones Credit Suisse AllHedge IndexesSM?
No. Only offshore funds are included in the indexes. However, should a manager have both a U.S. fund and an offshore fund in the Dow Jones Credit Suisse Hedge Fund IndexSM, the sum of their respective assets is used to determine the weight of the offshore fund in the Dow Jones Credit Suisse AllHedge IndexesSM.
How often are the Dow Jones Credit Suisse AllHedge IndexesSM reconstituted?
The indexes are rebalanced annually, with a semiannual “partial rebalancing” occurring between each rebalancing. Rebalancings take effect each April 1 (each a rebalancing effective date), based upon selections and weights that are determined on or about the previous December 15 (each a rebalancing selection date), using the latest data available to the calculation agent. Partial rebalancings take effect each October 1 (each a rebalancing effective date), based upon selections and weights that are determined on or about the previous June 15 (each a rebalancing selection date), using the latest data available to the calculation agent. Please see the Methodology section of this site or the Dow Jones Credit Suisse AllHedge IndexesSM Rules Document for additional information.
Can a fund be removed from the Dow Jones Credit Suisse AllHedge IndexesSM for reasons other than changes in AUM?
A fund can be dropped from indexes at the semiannual rebalancing for reasons other than changes in AUM if any of the following occur:
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The fund does not comply with the reporting requirements
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The fund fails to comply with the rules relating to the provision of financial information
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The fund ceases operation
How are new funds added or removed from the Dow Jones Credit Suisse AllHedge IndexesSM?
The indexes are rebalanced annually, with a semiannual “Partial Rebalancing” occurring between each rebalancing. Member funds are added and removed on a "going forward" basis only. Please see the Methodology section of this site or the Dow Jones Credit Suisse AllHedge IndexesSM Rules Document for additional information.
How long a track record must a fund have to be included in the Dow Jones Credit Suisse AllHedge IndexesSM?
Funds must have a current audited financial statement and a minimum one-year track record to qualify for the indexes. However, funds with US $500 million or more under management that have less than a one year track record can be included in the Dow Jones Credit Suisse AllHedge IndexesSM provided that they can supply audited financials or comparable verification of performance and assets.
Will historic performance data be adjusted as new funds are added to the Dow Jones Credit Suisse AllHedge IndexesSM?
No. Any new funds added to the indexes will contribute on a "going-forward" basis only. The historic monthly figures will not be adjusted.
Will there be corrections to the Dow Jones Credit Suisse AllHedge IndexesSM?
Any adjustments will be made on a "going-forward" basis only, as is the typical practice with all other major hedge fund indexes
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 US dollars.
How soon after month end will the new Dow Jones Credit Suisse AllHedge IndexesSM 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). Index values may be calculated from estimated performance as reported by the managers. As a result, on each publication date, the most recent month's estimated rate of return and index value will be published along with the previous month’s confirmed rate of return.
Are the Dow Jones Credit Suisse AllHedge IndexesSM affected by survivorship bias?
Most indexes are affected by some form of survivorship bias. In order to reduce this effect, the Dow Jones Credit Suisse AllHedge IndexesSM do not remove funds in the process of liquidation, and therefore capture most of the potential negative performance before a fund ceases to operate. If a fund enters liquidation, its performance remains in the Dow Jones Credit Suisse AllHedge IndexesSM until it fully liquidates, at which time it is removed because it no longer meets investability requirements. Please see the Methodology section of this site or the Credit Dow Jones Credit Suisse AllHedge IndexesSM Rules Document for additional information.
Do the Dow Jones Credit Suisse AllHedge Strategy IndexesSM track the strategy subindexes of the Dow Jones Credit Suisse Hedge Fund IndexSM?
While derived from the Dow Jones Credit Suisse Hedge Fund IndexSM, the Dow Jones Credit Suisse AllHedge IndexesSM were not designed to track the Dow Jones Credit Suisse Hedge Fund IndexSM and its corresponding sub-indexes. The Dow Jones Credit Suisse AllHedge IndexesSM were constructed as investable, liquid, strategy-specific indexes with their own characteristics, and thus performance may be significantly different.
Wouldn't an index comprised only of open funds underperform since all good funds are closed?
Credit Suisse AG, an affiliate of the index publisher Credit Suisse Hedge Index LLC, has relationships with a number of closed funds that have agreed to participate in the Dow Jones Credit Suisse AllHedge IndexesSM, regardless of their closed status. Further, empirical evidence suggests that closed funds do not necessarily outperform open funds.
