About 130/30 Strategies
130/30 strategies are an alternative approach to traditional long-only investing. They aim to benefit by taking advantage of both positive and negative views on securities. A 130/30 portfolio typically holds a 130% long position in securities that are expected to outperform the market and a 30% short position in securities that are expected to underperform the market.
About the Credit Suisse 130/30 Large-Cap Index
The Credit Suisse 130/30 Large-Cap Index uses a robust quantitative model to evaluate stocks and to set its long and short positions. The index was introduced in 2007 by Credit Suisse in collaboration with AlphaSimplex Group, which was founded by Dr. Andrew Lo. Dr. Lo is Chairman and Chief Investment Strategist of AlphaSimplex Group and Harris & Harris Group Professor at the MIT Sloan School of Management. Mr. Patel is Managing Director and Global Head of Quantitative Research at Credit Suisse. The principles underlying this quantitative index are described in Dr. Lo’s and Mr. Patel’s award-winning 2008 paper published in The Journal of Portfolio Management.
About CSM Performance
From its inception on July 13, 2009, to March 31, 2011, CSM’s market price cumulative total return was 55.29% compared to 52.30% for the S&P 500. Over this period, CSM’s market price total return, annualized since inception, was 29.25% compared to 27.80% for the S&P 500, and for the past 12-months ended March 31, 2011, was 15.89% compared to 15.65% for the S&P 500. From its inception to March 31, 2011, CSM’s NAV total return, annualized since inception, was 29.13%, and for the past 12-months ended March 31, 2011, was 15.87%.