Credit Suisse says the index offers investors the opportunity to invest in a rules-based market neutral strategy with low correlation to other asset classes and market risk is reduced by ensuring both sector and region neutrality.
The index is constructed from an initial universe of the top 275 North American, 300 European and 175 Japanese stocks by market cap.
Credit Suisse explains the universe is then divided into ten sectors, including energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, information technology, telecoms and utilities. The long portfolio is constructed by taking the top ranking 10 percent of each sector.
Managing director and head of global equity derivatives structuring Jessica Houtepen says: “We’ve seen a strong demand from investors for a market neutral index with low realised volatility and reduced market risk, even more so given the current market conditions. Our Market Neutral Index has a low correlation with other asset classes and a strong historical performance, which provides a solid base for a range of structured products.”
Managing director and co-head of the HOLT valuation and analytics group David Holland says: “The world’s leading hedge fund managers use the HOLT CFROI framework to analyse a company’s wealth creation performance and to evaluate forecast scenarios. They use HOLT factors to generate custom screens and score companies. The HOLTSelect series of indices satisfies retail and institutional investors’ strong appetite for investment products based on the HOLT framework.”