Methodology

Credit Suisse Blue Chip Hedge Fund Index

The Credit Suisse Blue Chip Hedge Fund Index is designed to provide a transparent, representative and rules-based benchmark of the investable index universe. The unique features of the index enable it to serve as the underlying for a broad suite of investment products and enable investors to measure a liquid and diversified subset of the hedge fund universe.

The individual investment strategy subindexes of the Credit Suisse Blue Chip Hedge Fund Index are known collectively as the Credit Suisse Blue Chip Hedge Fund Strategy Indexes and are also posted on the website

Definition of Eligible Funds

A hedge fund is eligible for membership in the Credit Suisse Blue Chip Hedge Fund Index if the fund meets all of the following criteria:

  • It is an existing member of the original index or the proxy for an existing member of the original index.
  • It is accepting new investments and redemptions.
  • The minimum amount for initial investment is less than or equal to the greater of (i) the product of USD 50,000,000 and its prospective weight in the Index; and (ii) USD 100,000.
  • It imposes a minimum amount for subsequent investments, that minimum is less than or equal to the lesser of (i) the product of USD 10,000,000 and its prospective weight in the Index; and (ii) USD 100,000.
  • It is not a U.S.-domiciled hedge fund.
  • It has no investment lock-up period.
  • It allows investments no less frequently than monthly.
  • It allows redemptions no less frequently than monthly or, in the case of funds in the Convertible Arbitrage, Event Driven and Multi Strategy Sectors, no less frequently than quarterly.
  • It requires notification of redemptions of one month or less or, in the case of funds in the Convertible Arbitrage, Event Driven and Multi Strategy Sectors, three months or less.
  • It meets the reporting criteria of the original index.
  • Neither it, its investment management company or any affiliate are, to the knowledge of the calculation agent, under investigation or review by a regulatory body or other authority for reasons of wrongdoing, breach of any law, regulation or rule, or any similar reason, which is deemed likely to be materially adverse to the fund by the calculation agent.
  • It allows investment by investors whose beneficial owners are "restricted persons" for the purposes of U.S. "new issues" as prescribed by Rule 5130 of the Conduct Rules of the Financial Industry Regulatory Authority (the "New Issues Rule") by issuing share classes for restricted persons or because the fund does not otherwise contravene the New Issues Rule 5130.

Index Construction

The Credit Suisse Blue Chip Hedge Fund Index is rebalanced semiannually, with member funds chosen according to the following procedure:

  • A list of eligible funds is compiled based on the latest available data.
  • The eligible funds are ranked in order of AUM.
  • The 60 member funds are determined in order of size as the largest six eligible funds by aum in each of the ten sectors comprising the original index, but on the basis that once an eligible fund is included in a particular sector, another eligible fund managed by the same or an affiliated investment manager will not be included in the same sector. If any sectors do not have six eligible funds, only the eligible funds in those sectors are included. In that case, the remaining member funds will be chosen in order of size as the largest remaining eligible funds by AUM in the other sectors until a total of 60 member funds have been determined, but on the basis that once a member fund is chosen from a particular sector, a further member fund will not be chosen from that sector until all other sectors with remaining eligible funds have contributed to the selection process.
  • The weight of each member fund is calculated per their AUM in accordance with the procedure for determining weights specified in "Initial Index Construction" of the Credit Suisse Blue Chip Hedge Fund Index Rules Document. Both fund and sector caps may be applied to enhance diversification and limit concentration risk.

Please see the Credit Suisse Blue Chip Hedge Fund Index Rules Document for additional rules, eligibility definitions and technical specifications.


© 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.