30/07/2013
Credit Suisse and Cass unveil range of indices
P { margin-bottom: 0.08in; } The range of new TrendMaster Indices, unveiled on 29 July by Credit Suisse and Cass Business School, will be used as a basis for a wide range of investments, derivatives and securities aimed at institutional investors, as well as structured products protected against losses, designed for family offices and private banks.The TrendMaster indices use a trend-following strategy to offer returns similar to those on equities, but with a considerably lower volatility. The strategy uses momentum analysis of five asset classes covering 20 markets to determine allocation of resources. The index is weighted at the end of each month, and an proprietary system based on mobile resources is used to identify the market which will be in the “risk on” category, and those which will be classed as “risk off.” The returns from the strategy are then transcribed into the value of the indices.Credit Suisse states that the track record for Trend Master indices is available back to the beginning of 2010. The indices will be provided in three formats: total return, volatility controlled and excess return volatility controlled.
