Credit Suisse AllHedge Indexes
The Credit Suisse AllHedge Indexes are designed to provide transparent, representative and objective benchmarks of the ten style-based investment strategies of the hedge fund universe. The unique features of the indexes enable them to serve as the underlying for a broad suite of investment products.
The composite index of the family is the Credit Suisse AllHedge Index. The sub-indexes covering the individual investment strategies are known collectively as the Credit Suisse AllHedge Strategy Indexes.
Definition of Eligible Funds
A hedge fund is eligible for membership in the corresponding Credit Suisse AllHedge Strategy Index if it 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 20,000,000 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 5,000,000 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.
- It has an AUM of at least USD 100,000,000.
- The indexes are rebalanced semi-annually, with member funds chosen according to the following procedure:
- The open/close status of each fund is determined.
- Eligible funds are defined as those funds from the investable universe that meet the definition of eligible funds.
- For each index, the member funds are defined as all eligible funds whose AUM in aggregate is equal to 70% of all AUM in the investable universe for that sector, with funds selected in order from largest to smallest AUM and subject to a maximum of 25 funds in each 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 index.
- 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 AllHedge Index Rules Document. Fund caps may be applied to enhance diversification and limit concentration risk.
Sub-indexes are maintained for each of the individual investment styles. Collectively, these are known as the Credit Suisse AllHedge Strategy Indexes.
Please see the Credit Suisse AllHedge Index Rules Document for additional rules, eligibility definitions and technical specifications.