The Credit Suisse Liquid Alternative Beta (LAB) Index (CSLAB) suggests that hedge funds produced positive returns during October, according to Jordan Drachman, head of research for alternative beta strategies at Credit Suisse.
Data released Tuesday indicated that the index showed an increase of 1.14%. LAB, according to the company, is a series of indices that “seek to replicate the aggregate return profiles of alternative investment strategies using liquid, tradable instruments that are selected and weighted using an objective and transparent rules-based methodology.” Use of an algorithm determines weightings and other factors used to try to replicate returns provided by specific hedge fund strategies. Performance is calculated daily.
There are five separate indices in the LAB family of indices, according to the company. They are: the Credit Suisse Liquid Alternative Beta Index (CSLAB), which seeks to reflect the return of the overall hedge fund industry as represented by the Dow Jones Credit Suisse Hedge Fund Index; the Credit Suisse Long/Short Liquid Index (CSLABLS), emulating the return of hedge funds as represented by the long/short equity sector of the Dow Jones Credit Suisse Hedge Fund Index; the Credit Suisse Global Macro Liquid Index (CSLABGM), emulating hedge funds represented by the global macro sector of the Dow Jones Credit Suisse Hedge Fund Index; the Credit Suisse Event Driven Liquid Index (CSLABED), which emulates hedge funds represented by the event driven sector of the Dow Jones Credit Suisse Hedge Fund Index; and the Credit Suisse Merger Arbitrage Liquid Index (CSLABMA), which seeks broad exposure to the merger arbitrage strategy.
Drachman said in a statement, "The Credit Suisse Liquid Alternative Beta Index was up 1.14% in October, led by strong performance in both the long/short equity and event driven sectors. The Credit Suisse Long/Short Liquid Index was the greatest positive contributor for the second month in a row, posting returns of 2.43%, as managers benefited from global equity market rallies. Similarly, the Credit Suisse Event Driven Liquid Index was up 2.17% in October, pushing year-to-date performance into the double digits (+11.25%).” Global macro was the only down sector, he concluded, finishing down 1.19% for October.