Credit Suisse has launched a new algorithmic index platform, Quantitative Risk Management (QRM), which enables clients to create their own tradable indices based on the bank’s analytics capabilities.
Using QRM, portfolio managers can invest in a variety of bespoke systematic strategies and customise or analyse them via Credit Suisse’s LOCUS investor portal.
This new service will make it easier for managers to develop index-related investment strategies proactively in response to changing market opportunities.
Credit Suisse will test and refine a strategy created by a client, then design an index based on the firm’s various trading parameters. The indices often involve a number of derivatives instruments but can be invested in through a range of wrappers including swaps, notes, certificates and funds.
For clients that do not have a precise idea of the strategy they want to implement, the QRM platform offers four existing strategic indices: the CS Global Carry Selector Index, which systematically rolls short variance swap positions on major global indices and has a built in protection mechanism in times of market distress; the CS ACE Index, an advanced call overwriting strategy which enables investors to enhance yields on long-only indices; the CS Equity Tail Hedge Index, which is designed to trade during times of market stress while incurring low costs during stable markets; and the CS Equity Volatility Alpha Index, an index which aims to achieve a low risk, cost effective short exposure to EUROSTOXX 50 volatility and is designed to achieve returns when option implied volatility is overpriced compared to the subsequent realised volatility.
“QRM is a platform that will help our clients to thrive, from those who invest in systematic hedging programmes through to investors who require more complex alpha-extraction strategies,” commented Walter Rotondo, head of global fund linked products and head of European equity derivatives and convertibles at Credit Suisse. “It will provide the full spectrum of solutions to offer end users the ability to trade their chosen strategies in an efficient way.”