Methodology

Credit Suisse Hedge Fund Index

The Credit Suisse Hedge Fund Index was the industry's first—and remains the leading—asset-weighted hedge fund index. Asset-weighting, as opposed to equal-weighting, provides a more accurate depiction of an investment in the asset class.

The flagship index of the Credit Suisse Hedge Fund Index family is the Credit Suisse Hedge Fund Index. The family also includes individual strategy indexes, which are collectively known as the Credit Suisse Hedge Fund Strategy Indexes. The methodology utilized to create the Credit Suisse Hedge Fund Index starts by defining the universe it is measuring. The index universe is defined as funds with:

  • A minimum of U.S. $50 million assets under management ("AUM"),
  • A minimum one-year track record, and
  • Current audited financial statements.

Funds within the Credit Suisse Hedge Fund Index are separated into ten primary subcategories based on their investment strategy. The Credit Suisse Hedge Fund 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. Fund weight caps may be applied to enhance diversification and limit concentration risk. The index is calculated and rebalanced monthly. Funds are reselected on a quarterly basis as necessary.

The Credit Suisse Hedge Fund Index uses a rules-based construction methodology, identifies its constituent funds, and minimizes subjectivity in the index member selection process as a result of the rules-based method. It aims to achieve maximum representation of the index universe. To minimize survivorship bias, funds are not removed from the index until they are fully liquidated or fail to meet the financial reporting requirements.

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.

Please see the Credit Suisse 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.