Credit Suisse, Cass Business School launch multi-asset indices

Credit Suisse and Cass Business School have jointly launched Trend Master Index, a series of investible indices for multi-asset investors that are intended to provide equity-like returns and much reduced volatility.

The Trend Master Index series uses momentum analysis across five different asset classes spanning 20 markets to determine resource allocation.

The index is rebalanced at the end of each month and a proprietary trading system based on moving averages is used to identify which markets are deemed to be “Risk On” or “Risk Off.” The returns of the strategy are then represented in the index values.

There are three indices currently available: Total Return, Volatility Controlled, and Excess Return Volatility Controlled.

Credit Suisse said it plans to offer a wide range of investments including derivatives and securities linked to the indices to institutional clients, including insurance companies, pension funds and investment trusts (closed ended funds), as well as providing other clients, such as family offices and private banks, with structured products that can offer an element of downside protection.

Robert Dale, director in Structured Sales at Credit Suisse, said: “The Trend Master Index series offers investors the chance to benefit from the results of extensive independent research undertaken by Cass Business School. On the back of their analysis into what constitutes an optimal diversified portfolio, Credit Suisse is delighted to be able to offer access to the results in an investible format via exposure to this new index range.”

 

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