Credit Suisse First Boston (CSFB) is preparing to launch a series of tracker funds based on the CSFB ...
Over the coming months, the company is expected to launch funds that will track the different sub-indices that make up the index, as well as one that tracks the whole index.
There are nine categories in the index, including convertible arbitrage, equity market neutral, event-driven, global macro, fixed income arbitrage, dedicated short bias and long/short equity.
Having funds that follow the segments in the index reflects the heterogeneity of the index and this, in turn, is reflected in the performance of the different parts.
For example, the 1999 performance figures (backdating before the creation of the index in November last year) for the convertible arbitrage segment was 16.04%, the dedicated short bias category dipped -14.22% while long/short equity funds averaged 47.23%
Despite the disparity in the performance, the average for the whole index over 1999 was 23.43%, which is just under the 25.22% achieved by the Dow Jones over the same period and on a par with the 23.56% MSCI World Index performance. In contrast, the S&P 500 managed 19.53%.
CSFB sees the market for these index tracking funds as being primarily institutional investors and the funds will be structured and marketed accordingly.
The index is distinguished by being the first asset-weighted hedge fund index. It contains more than 280 funds out of a universe of 580 and includes both US and offshore funds.
Only funds with $10m or more and with audited financials are permitted to be in the index and continuing efforts are being made to expand the scope of the index by encouraging the remaining hedge fund managers to open their books to the index.
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