Credit Suisse launch Global Market & Sector Neutral ETN

Sep 22 2011

ETP: 22.09.2011

Credit Suisse has launched Credit Suisse Market Neutral Equity ETN based on the HOLT Index: HS Market Neutral Index

We are starting to see a number of these Market Neutral Hedge Fund strategies being offered, here is bait about the underlying index methodology on this one.

Each quarter, a universe of the top 275 North American, 300 European and 175 Japanese stocks by market cap (and liquidity for Europe) is selected from the HOLT database. Stocks are then grouped into 10 sectors and then ranked according to the HOLT screening process. The long portfolio is constructed by taking the top ranking 10% of each sector and Shorts are selected by pairing the longs with the lowest ranking stocks in the same sector and region.

The HOLT scoring methodology attempts to identify stocks that satisfy corporate performance, momentum, and valuation characteristics measured objectively by converting a company’s accounting data into cash flows, as measured by HOLT’s proprietary CFROI® metric. This allows comparisons among companies across sectors, regions and over time. The HOLT scoring methodology is applied in a consistent manner to all stocks in the eligible universe.

Pursuant to the HOLT scoring methodology, companies are scored in three categories: Operational Performance, Momentum and Valuation. Scores in each category are determined on the basis of a neutral application of several objective metrics that are intended to permit comparisons of companies’ relative performance on measures relevant to that category.

Johnni Nielsen 22.09.2011