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CASAM CISDM Hedge Fund/CTA Indices Methodology

Hedge Fund and Fund of Funds Indices

Introduction

The CASAM CISDM Hedge Fund indices are median performance indexes of strategies in the CASAM CISDM Hedge Fund/CTA Database. There are currently 16 hedge fund strategy indices, as well as a broad-based equal-weighted hedge fund index that reflects the performance of all hedge funds reporting to the database. A list of indices as well as their inception dates is given in the table below.

Exhibit 1: CASAM CISDM Hedge Fund Indices
Index Start Date Methodology
CASAM CISDM Equal Weighted Hedge Fund Index Jan-90 Equal-Weighted
CASAM CISDM Convertible Arbitrage Index Jan-92 Median
CASAM CISDM Distressed Securities Index Jan-90 Median
CASAM CISDM Emerging Markets Index Jan-90 Median
CASAM CISDM Equity Market Neutral Index Jan-90 Median
CASAM CISDM Equity Long/Short Index Jan-90 Median
CASAM CISDM Equity Long/Short Asia Index Jan-01 Median
CASAM CISDM Equity Long/Short Europe Index Jan-01 Median
CASAM CISDM Event Driven Multi-Strategy Index Jan-90 Median
CASAM CISDM Fixed Income Arbitrage Index Jan-98 Median
CASAM CISDM Global Macro Index Jan-90 Median
CASAM CISDM Merger Arbitrage Index Jan-90 Median
CASAM CISDM Mortgage-Backed Securities Index Oct-96 Median
CASAM CISDM Sector Index Mar-99 Median
CASAM CISDM Sector Technology Index Dec-99 Median
CASAM CISDM Fund of Funds Index Jan-90 Median
CASAM CISDM Fund of Funds Diversified Index Jan-90 Median

Hedge Fund and Fund of Funds Index Rules

  • Only funds that have reported monthly returns at the time the medians are calculated are included in the index.
  • There is no minimum asset size required for inclusion in the hedge fund indices.
  • There is no length of time required that a fund must be reporting to the database to be included in the indices.
  • Once calculated, index performance numbers are never revised.
  • Both offshore and onshore funds are included in the medians.

Equal Weighted Hedge Fund Index Rules

  • Only funds that have reported monthly returns at the time the index is calculated are included.
  • There is no minimum asset size required for inclusion in the hedge fund index.
  • There is no length of time required that a fund must be reporting to the database to be included in the index.
  • The index is calculated as simple arithmetic average. For example, if there are 1200 funds reporting, the return would be a simple arithmetic average of the returns of those 1200 funds.
  • Once calculated, index performance numbers are never revised.
  • Both offshore and onshore funds are included in the index.

Commodity Trading Advisor (CTA)/Commodity Pool Operator (CPO) Indices

Introduction

The CASAM CISDM CTA/CPO indices represent a series of both asset-weighted and equal-weighted performance indices of commodity trading advisors and commodity pool operators in the CASAM CISDM Hedge Fund/CTA Database. Currently there are 20 indices. The list of indices as well as their inceptions dates is given in the table below.

CTA Indices

Index Start Date
CASAM CISDM CTA Asset Weighted Index Jan-80
CASAM CISDM CTA Asset Weighted Currency Index Jan-90
CASAM CISDM CTA Asset Weighted Diversified Index Jan-87
CASAM CISDM CTA Asset Weighted Equity Index Jan-94
CASAM CISDM CTA Asset Weighted Financials Index Jan-87
CASAM CISDM CTA Asset Weighted Physicals Index Jan-01
CASAM CISDM CTA Asset Weighted Discretionary Index Jan-87
CASAM CISDM CTA Asset Weighted Systematic Index Jan-92
CASAM CISDM CTA Equal Weighted Index Jan-80
CASAM CISDM CTA Equal Weighted Currency Index Jan-01
CASAM CISDM CTA Equal Weighted Diversified Index Jan-01
CASAM CISDM CTA Equal Weighted Equity Index Jan-01
CASAM CISDM CTA Equal Weighted Financials Index Jan-01
CASAM CISDM CTA Equal Weighted Physicals Index Jan-01
CASAM CISDM CTA Equal Weighted Discretionary Index Jan-01
CASAM CISDM CTA Equal Weighted Systematic Index Jan-01

CPO Indices

Index Start Date
CASAM CISDM CPO Asset Weighted Index Jan-90
CASAM CISDM CPO Equal Weighted Index Jan-90
CASAM CISDM Public CPO Asset Weighted Index Jan-90
CASAM CISDM Public CPO Equal Weighted Index Jan-01

CTA/CPO Index Rules-Asset Weighted Indices

  • Only funds that have reported monthly returns and assets at the time the indices are calculated are included.
  • Only funds with more than USD 500,000 in assets and one year of reporting history are included in the indices.
  • The assets of funds reporting in currencies other than USD are converted to USD using the closing exchange rate on the last business day of the respective month.
  • Fund weights are dynamic and change from month to month. The weights are calculated by dividing the assets under management of a particular fund by the total assets under management for that group in any given month. For example, if there are 30 CTAs classified as Physicals that meet the criteria above, the weight for fund k would be the assets under management for fund k divided by the total assets under management for the 30 CTAs.
    where w k is the weight of each CTA and R ktis the corresponding return for month t.. The weight w k is defined as
    Where, f k (k=1….30) is the reported assets under management for fund k.
  • Once calculated, index performance numbers are never revised.

CTA/CPO Index Rules-Equal Weighted Indices

  • Only funds that have reported monthly returns and assets at the time the indices are calculated are included.
  • Only funds with more than USD 500,000 in assets and one year of reporting history are included in the indices.
  • The indices are calculated as simple arithmetic averages for that group. For example, if there are 30 CTAs classified as Physicals that meet the criteria above, the return would be a simple arithmetic average of the returns of those 30 CTAs.
  • Once calculated, index performance numbers are never revised.