Swiss financial services firm Credit Suisse has launched a new Global Macro Replication Index which aims to capture the risk or return characteristics of the Credit Suisse/Tremont Global Macro Hedge Fund Index.
Credit Suisse said that the new index enables investors to gain liquid, transparent insight into the global macro hedge fund sector.
The Global Macro Replication Index joins the existing Long/Short Equity Replication Index to become the second in a suite of alternative index replication (AIR) products. Together, the indices offer insight to two hedge fund sectors in the current market environment, said Credit Suisse.
Index values are finalised daily and quoted on Bloomberg under the symbol AIRI. Performance, descriptions, statistics and downloadable price history can be found on the newly launched Credit Suisse Alternative Beta website.
Bill Fung, a research adviser to Credit Suisse’s alternative beta efforts, said: In developing a replication index, it is imperative that researchers understand the in-depth intricacies of hedge fund sectors and individual manager performance.
The team has access to superior data through the Credit Suisse/Tremont Hedge Fund Index. Together with regular contact with hedge fund managers, this combination provides practical insight into the behaviour of hedge fund strategies and adds a level of fundamental analysis to the quantitative construction of the index.
