13 October 2016 Americas Fixed Income Research Index and Alpha Strategy INSTITUTIONAL CLIENTS ONLY/DO NOT FORWARD
Systematic Alpha Monthly
Research Analysts
Baldwin Smith 212 325 5524 [email protected] September 2016 Yongchu Song 212 538 7013 [email protected] Sherry Li 212-538-2585 [email protected] Olivia Zhong 1 212 538 4328 [email protected] Steven Tang 212 538 0339 [email protected]
■ In this month’s Research Spotlight section, we examine the Credit Suisse Multi-Asset Trend Index Suite (MATRIX).
■ The MATRIX strategy is a trend-following strategy that aims to benefit from momentum across a variety of asset classes.
■ It attempts to do so by generating momentum signals comparing exponential moving averages in different time period.
■ Since its inception in April 2002, a multiple asset class basket index with global equity and bonds exposure within MATRIX suite has a Sharpe of 1.25 outperforming the traditional 60-40 portfolio with a Sharpe of 0.61.
DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES, LEGAL ENTITY DISCLOSURE AND ANALYST CERTIFICATIONS.
13 October 2016
Table of contents
Global Market Overview 4
Credit Suisse Alpha Strategies Platform 5
Individual Strategy Performance 6
Research Spotlight: Credit Suisse Multi-Asset Trend Index Suite (MATRIX) 8
Strategy Snapshots 12
Smart Beta 13 HS Global Style Rotation 13 HS Global Style Rotation Equity Hedged 14 HS Market Neutral Index Powered by HOLT® 15 Global Enhanced Momentum Strategy 16 GAINS 01E 17 Commodity Backwardation 18
Alternative Risk Premia 19 Global Carry Selector 19 Global Carry Selector II 20 Advanced Relative Value Volatility Index 21 Mean Reversion Index on Euro Stoxx 50 22 Dividend Alpha Index on Euro Stoxx 50 23 Adaptive Volatility Index Global 24 Adaptive Term Premium Index 25 Commodity Backwardation RV 26 Commodity Momentum Long/Short 27 Commodity Custom 24 Alpha 28 Commodity Custom 88 Enhanced 29 FX Metrics Carry 30 FX Metrics Momentum 31 FX Metrics Value 32 Dynamic Multi Asset Allocation 33 RAII HOLT®: Risk Appetite Investible Index Powered by HOLT® 33 RAII HOLT® Relative Value 34 ARROW 6% 35 Multi-Asset Futures Strategy 36 MASTRO 37 Systematic Tactical Asset Allocation 38 TEMPO 39
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Portfolio Hedging 40 Equity Dynamic Tail Hedge SPX Index 40 Cheapest Slide Index 41 Advanced Defensive Volatility Index 42 Tail Risk Overlay Protection Strategy 43
Liquid Alternative Beta 44 Liquid Alternative Beta 44 Long/Short Liquid Index 45 Event-Driven Liquid Index 46 Merger Arbitrage Liquid Index 47 Managed Futures Liquid Index 48 Global Strategies Liquid Index 49
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Global Market Overview
. Economics:The September Employment WTI Crude, Aug 1 to Oct 13, 2016 Report was mostly in line with expectations, and does not fundamentally change the 55 broader US outlook. Payrolls growth remains 53 on its slowing trend and income details recovered after a disappointing August report. 51 While this is not quite strong enough to return 49 income growth to its previous trends, it does allay concerns about a sharper slowdown. CS 47 economists continue to expect personal consumption growth to soften slightly in H2 45 2016. Solid payrolls growth and the rebound in 43 labor income will support the hawkish case for a December hike. On the other hand, a 41 sideways unemployment rate and continued 39 sluggishness in wage growth suggest there is WTI Crude little overheating in the labor market and few 37 signs of inflationary pressure. In our view, the 35 data appear sufficient to support a hike this 1-Aug 16-Aug 31-Aug 15-Sep 30-Sep year, but the Fed’s cautious approach and the risks from the presidential election make further Note: Data as of 09/30/2016 delays more likely than not. Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse ■ Fixed Income: The recent back-up in yields USDCNY, Aug 1 to Oct 13, 2016 has come on the back of a repricing of Fed hike expectations along with a shift in 6.74 international dynamics that had been supporting Treasuries. CS rates strategists 6.72 expect that front-end inflation BEi will be more 6.7 sensitive to oil prices than the long end, marking the return of a more traditional 6.68 relationship when compared to that observed from mid-2014 to late last year. 6.66 ■ Equities: While markets have shown 6.64 resilience following the UK referendum, CS equity strategists believe US equities remain 6.62 vulnerable to bad news heading into year-end, 6.6 with risk of shifting negative due to recent USDCNY Curncy weakness in buyback activity. 6.58 ■ FX: CS FX strategists continue to expect the 6.56 PBOC to guide the CNY down about 1% - 1.5% 1-Aug 16-Aug 31-Aug 15-Sep 30-Sep vs. the CFETS basket over the next several months or 93.0 – 93.5 on the basket. This Note: Data as of 09/30/2016 would imply 6.69 – 6.72 on USDCNY given Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse their broad USD forecast set, including their forecast for USDJPY to fall to 95. They Benchmark Performance maintain the forecasts for 6.71 on USDCNY in 3 months and 6.80 in 12 months. A risk is that Current Sept 2016 YTD the US Fed signals a rate hike at its December Benchmark Level 2016 Return meeting supporting the USD close to current VIX 17.1 -0.13 -4.92 levels. In this scenario their forecast for the MSCI World 1695.5 0.4% 3.8% CNY vs. its basket would imply 6.678 – 6.798 on USDCNY. S&P GSCI 224.5 4.1% 5.1% S&P 500 2139.2 -0.1% 6.1% ■ Commodities: CS commodity strategists think that oil markets will remain trapped in a range JPM Global Bond 384.1 -0.1% 6.8% of $45/b Brent plus or minus $5 through winter. US 10yr Yield 1.74 0.01 -0.68 Fundamentally things will not likely tighten up Gold 1259.2 0.5% 24.0% in the next two quarters; but unlike last year, Moody's BAA Spread 189.9 0.8% -20.5% the wheels are not coming off the fundamentals cart either. Starved without Note: Current level Data as of 10/13/2016; Sept 2016 uses Data as of 09/30/2016;Source: the BLOOMBERG PROFESSIONAL™ service, revenue, the industry and many sovereigns Credit Suisse have had to cut back upstream activity sharply, and oil production is falling in most places.
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Credit Suisse Alpha Strategies Platform
Equities FX Interest Rates Commodities Multi-Asset
Sector HOLT family GAINS LAB Broad Rotation Smart Beta LAB Managed Backwardation Futures Global Carry Mean Adaptive Backwardation RAII HOLT Relative Momentum Selector family Reversion Volatility RV Value
Dividend Adaptive Term Momentum Advanced RVOL Carry Alpha Premium Long/Short Alternative Risk Premia LAB Merger LAB Value GEMS Custom 24 Alpha LAB Event Driven Arbitrage Long/Short
Custom 88 Enhanced Dynamic Tail Advanced TOPS family DVOL Portfolio Hedging Cheapest Slide
Dynamic Asset Allocation
RAII HOLT STAA ARROW TEMPO CSMF1
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Source: Credit Suisse
Sys tematic Alpha Monthly Alpha tematic Individual Strategy Performance RETURN SHARPE RATIO Bloomberg Total Return Past 12- Strategy Asset Class Live Date Sep-16 Year-to-Date Past 12-Months Since Live Ticker Since Live Months
Smart Beta
HS Global Sty le Rotation Equities HSGSRTR 10/14/2009 0.57% 6.18% 9.97% 10.97% 0.74 0.71 HS Global Sty le Rotation Equity Hedged Equities HSGSREH 1/4/2010 -0.03% -0.19% -1.99% 1.19% -0.55 0.36 HS Market Neutral Equities HSGMN 1/9/2007 0.18% -5.14% -4.88% -1.39% -1.07 -0.26 Global Enhanced Momentum Strategy Interest Rates CSGMEREU 1/1/2012 -0.51% -0.32% -1.00% -0.28% -0.56 -0.17 GAINS 01E Commodities CSGADER 10/15/2008 3.32% 8.30% -0.56% 0.33% -0.04 0.02 GAINS S&P GSCI Commodities CSGAGSER 10/15/2008 4.44% 5.27% -7.81% -3.37% -0.35 -0.17 GAINS 01E Long/Short Commodities CSGADLSE 10/15/2008 0.73% -0.94% 1.09% 9.60% 0.29 0.87 Commodity Backw ardation Commodities CSCUBKER 03/27/2012 2.38% 4.56% 3.15% -7.73% 0.26 -0.67 Alternative Risk Premia Global Carry Selector Equities GCSCS 2/1/2009 3.42% -1.17% 7.45% 10.02% 0.52 0.49 Global Carry Selector II Equities GCSCS2 06/15/2012 1.21% -0.41% -0.94% -2.08% -0.14 -0.26 Adv anced Relativ e Value Volatility Equities CSEAARVL 09/26/2012 -0.73% 6.80% 2.01% -3.63% 0.30 -0.58 Mean Rev ersion on Euro Stox x 50 Equities CSEAMREU 03/27/2013 0.56% 10.93% 11.38% 3.44% 1.40 0.41 Div idend Alpha on Euro Stox x 50 Equities CSEADVAE 11/10/2013 1.28% 4.10% 3.69% 1.39% 1.23 0.35 Adaptiv e Volatility Index – Global Interest Rates CSVIXAEU 1/9/2012 0.58% 3.24% 4.93% 2.37% 1.21 0.58 Adaptiv e Volatility Index – USD Interest Rates CSVIXUSD 1/3/2009 0.67% 6.15% 8.42% 12.89% 1.48 1.39 Adaptiv e Volatility Index – JPY Interest Rates CSVIXJPY 1/1/2011 2.28% -2.81% -1.45% 1.99% -0.25 0.31 Adaptiv e Volatility Index – EUR Interest Rates CSVIXEUR 1/9/2012 -1.20% 6.44% 6.70% 4.42% 1.31 0.72 Adaptiv e Term Premium Index Interest Rates CATPU2P6 11/1/2011 -0.21% 2.83% 3.40% 2.06% 1.13 0.69 Commodity Backw ardation RV Commodities CSCUBKAE 3/6/2013 -0.72% -4.25% 4.98% 2.88% 0.47 0.34 Commodity Momentum Long/Short Commodities CSCUMLSE 11/12/2013 -0.07% -7.14% 2.44% 2.05% 0.17 0.19 Commodity Custom 24 Alpha Commodities CSCUS24A 2/15/2012 1.10% 8.60% 15.15% 11.13% 1.86 1.08 Commodity Custom 88 Enhanced Commodities CSCUE88E 6/18/2012 0.94% 2.30% 3.85% 2.24% 0.93 0.71 FX Metrics Carry FX FXMXCEUS 3/11/2010 0.61% 5.47% 8.25% -0.67% 0.89 -0.09 FX Metrics Momentum FX FXMXMEUS 3/11/2010 0.56% -3.92% -3.34% 0.11% -0.54 0.02 FX Metrics Value FX FXMXVEUS 3/11/2010 0.38% 1.50% 3.91% -0.09% 0.56 -0.02 Source: Credit Suisse
Note: Data as of 09/30/2016 Sharpe Ratio: We calculate the Sharpe Ratio as the annualized average excess return divided by the annualized daily volatility of the strategy. For excess return strategies, we simply use the raw strategy returns. For total return strategies, we deduct the 1-month LIBOR for the currency in which the strategy is denominated. For more information, please visit us on Bloomberg at CSLI
6
Monthly Alpha Systematic Individual Strategy Performance (cont'd)
RETURN SHARPE RATIO Bloomberg Total Return Past 12- Strategy Asset Class Live Date Sep-16 Year-to-Date Past 12-Months Since Live Ticker Since Live Months
Dynamic Multi Asset Allocation
RAII HOLT® Hy brid RAIIHUST 6/4/2010 1.15% -1.07% 3.37% 6.26% 0.19 0.43 RAII HOLT® Relativ e Value Hy brid RAIIHRVU 04/28/2011 0.45% -5.07% -5.60% -0.25% -0.63 -0.06 ARROW 6% Hy brid ARROWUT6 2/11/2011 0.29% 9.84% 7.78% 2.05% 1.37 0.35 Multi-Asset Futures Strategy Hy brid CSMF1ER 10/26/2011 2.38% 2.14% 3.98% 2.53% 0.34 0.27 MASTRO Hy brid CSMST4E 08/31/2010 0.65% -1.90% -2.42% -1.66% -0.31 -0.35 Sy stematic Tactical Asset Allocation Hy brid STAAUE 10/18/2013 0.05% 1.90% -0.34% -0.14% -0.07 -0.03 TEMPO Hy brid CSEATMP6 2/4/2014 -1.87% 3.63% 0.09% 0.28% 0.01 0.05 Portfolio Hedging Equity Dy namic Tail Hedge SPX Index Equities CSEADTSP 12/15/2011 -0.04% -5.15% -6.25% -6.09% -3.58 -2.86 Cheapest Slide Index Equities CSEACHPS 8/12/2011 -0.75% -7.57% -10.54% -11.39% -0.73 -1.10 Adv anced Defensiv e Volatility Index Equities CSEAADVL 09/26/2012 -0.30% -4.92% -12.98% -10.20% -1.38 -1.15 Tail Risk Ov erlay Protection Strategy Interest Rates CSTSERUS 1/8/2011 -0.11% 1.14% 0.14% 2.57% 0.03 0.50 Liquid Alternative Beta Liquid Alternativ e Beta Hy brid CSLAB 12/31/2009 0.45% 3.62% 4.16% 3.76% 0.95 0.62 Long/Short Liquid Index Equities CSLABLS 04/30/2008 0.46% -1.07% 2.99% 4.09% 0.44 0.40 Ev ent Driv en Liquid Index Hy brid CSLABED 12/31/2009 0.38% 8.28% 6.77% 5.37% 0.83 0.62 Merger Arbitrage Liquid Index Equities CSLABMA 12/31/2009 0.34% -1.23% 0.72% 1.51% 0.06 0.28 Managed Futures Liquid Index Hy brid CSLABMF 01/31/2011 0.45% 4.09% 1.85% 3.40% 0.15 0.32 Source: Credit Suisse
Note: Data as of 09/30/2016 Sharpe Ratio: We calculate the Sharpe Ratio as the annualized average excess return divided by the annualized daily volatility of the strategy. For excess return strategies, we simply use the raw strategy returns. For total return strategies, we deduct the 1-month LIBOR for the currency in which the strategy is denominated. For more information, please visit us on Bloomberg at CSLI
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Research Spotlight: Credit Suisse Multi- Asset Trend Index Suite (MATRIX) Trend-following strategy takes advantage of a tendency that assets which have outperformed will on average continue to have a better performance relative to peers, and vice versa. This tendency, which is well-known as momentum, exhibits on various asset markets. Many possible explanations for momentum exist, ranging from disequilibrium on the market to investor irrationality. Trend can always be measured as positive autocorrelation of asset prices, i.e., the asset price returns as positively correlated with the same asset’s lagged return. Under the market environment when there’s a strong driver which causes the upwards or downwards movement on asset prices, trend-following strategies perform well. Moreover, those strategies can work as good diversifiers for risky asset portfolios under a stressful environment. Aiming to benefit from potential trends exhibited by a variety of assets, Credit Suisse has developed the CS Multi-Asset Trend Index Suite. The suite contains three types of indices: Single-Name Indices (SN Indices), which track trends of single types of assets, Single Class Indices (SC Indices), which are baskets of SN Indices and track single asset class and Multiple Asset Class Indices (MC Indices) tracking across several asset classes. In Exhibit 1 and Exhibit 2 we plot one of the MC Indices, MTRXMLTL. This index is a basket of equity SC Indices and bond SC Indices. We compare it with a group of trend-following managed futures indices: NEIXCTA (SG CTA Index), BARCCTA (Barclay CTA Index) and HEDGFUTR (Credit Suisse Managed Futures Liquidity Index). MTRXMLTL outperforms with a higher Sharpe ratio of 1.25 and lower maximum drawdown of 7% since April 2002.
Exhibit 1: Cumulative Index Performance, Exhibit 2: Performance Statistics, Apr 2002 – Sep 2016 Apr 2002 – Sep 2016 Data as of Sep 30, 2016. Calculated on monthly basis. Data as of Sep 30, 2016 300 MTRXMLTL NEIXCTA BARCCTA HEDGFUTR
250 Annual 5.8% 5.6% 4.3% 6.5% 200 Return 150 Annual 4.7% 8.2% 6.3% 11.6% Volatility 100 Sharpe 1.25 0.68 0.69 0.56 Ratio 50 2002 2004 2006 2008 2010 2012 2014 2016 Max 7% 12% 10% 17% MTRXMLTL Index NEIXCTA Index Drawdown
BARCCTA Index HEDGFUTR Index Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
Methodology The trend signals are generated on SN Index level. Each SN Index component of the strategy utilizes the exponentially weighted moving averages (EWMA) of its underlying futures series. We capture trends by comparing EWMA with different terms. In addition, we adjust weights to inversely proportional to the trailing volatility of the underlying futures for the purpose of volatility control. For multi-asset trend harvester SC Indices and MC Indices, the portfolio reconstitution occurs each month, representing baskets with weights set up to equal on rebalance date and adjusted afterwards. The daily weight adjustment uses inverse-volatility weighting manner within asset classes (for SC Indices) and across asset classes (for MC Indices). Meanwhile, volatility target with leverage cap are applied for basket indices.
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Exhibit 3: Structure of CS Multi-Asset Trend Index Suite
Source: Credit Suisse
Performance Analysis In Exhibit 4 and Exhibit 5, we plot the time spot when long/short momentum signals are triggered and how these signals enhance the performance of MATRIX indices. Take two long/short SN Indices as an example. MTRXSRXB has underlying Euro Bund rolling futures and MTRXSESB has US S&P E-mini futures as underlying instruments. Both of the charts show that the signals perform well in capturing the potential underlying trends. When a strong upward/downward movement appears on the market, the long/short position is triggered timely to chase positive returns or cut losses.
Exhibit 4: Momentum signal for MTRXSRXB, Exhibit 5: Momentum signal for MTRXSRSB, Apr 2002 – Sep 2016 Apr 2002 – Sep 2016 LHS: index level. RHS: Signal value. Data as of Sep 30, 2016. LHS: index level. RHS: Signal value. Data as of Sep 30, 2016.
250 1 250 1
200 0.5 200 0.5
150 0 150 0
100 -0.5 100 -0.5
50 -1 50 -1 2002 2004 2006 2008 2010 2012 2014 2016 2002 2004 2006 2008 2010 2012 2014 2016 Momentum Long Signal Momentum Long Signal Momentum Short Signal Momentum Short Signal MTRXSRXB Index Value MTRXSESB Index Value S&P E-mini Euro Bund Rolling Futures
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
Besides the efficiency of timing trends and gaining trend following returns, the strategy also shows the feature of good risk diversification. Both of the advantages can be measured with strength of correlations with benchmark indices. In the Exhibit 6 and 7, we plot 20 days and 180 days rolling correlation of SPX Index return with two MATRIX indices returns. Exhibit 6 shows MTRXSESB Index with S&P E-mini as underlying and Exhibit 7 shows MTRXCEQB Index which is a SC Index with exposure on global equity market. When the market sells off, as it did in during the financial crisis in 2008 and European debt crisis in 2011, the correlations between MATRIX indices and benchmark index are negative, which shows the delinking of those indices and market downside trend. On the other hand, the high positive correlation when market is in risk on face could ensure the strategy will not miss upward movements.
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Exhibit 6: 20- and 180-Day Rolling Correlations of Exhibit 7: 20- and 180-Day Rolling Correlations of MTRXSESB and SPX Index MTRXCEQB and SPX Index LHS: index level. RHS: rolling correlation. LHS: index level. RHS: rolling correlation.
200 1.5 150 1.5
1 130 1 150 0.5 0.5 110 0 0 90 100 -0.5 -0.5 70 -1 -1 50 -1.5 50 -1.5 2003 2005 2007 2009 2011 2013 2015 2003 2005 2007 2009 2011 2013 2015 20 Days Rolling Correlation 20 Days Rolling Correlation 180 Days Rolling Correlation 180 Days Rolling Correlation MTRXSESB Index Value MTRXCEQB Index SPX Index (normalized to same realized vol) SPX Index (normalized to the same realized vol)
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
Multi-Asset Trend Harvester Annual Performance Exhibits 8 and 9 show the annual return and Sharpe ratio for MTRXMLTL, which is one of MC Indices and has constituents of global bonds and equity futures. To compare with MTRXMLTL, we construct a hypothetical combined 60/40 portfolio which consists of 60% of stocks and 40% of bonds. We use the return of SPX Index as equity asset return and return of US 10-year treasury index (ticker: BCEY4T) as bond asset return. The MATRIX suite has multiple levels of volatility control process, which decrease the volatilities and annual maximum drawdowns.
Exhibit 8: Annual Returns, Apr 2002 – Sep 2016 Exhibit 9: Annual Sharpe Ratios, Apr 2002 – Sep 2016 Data as of Sep 30, 2016. Data as of Sep 30, 2016.
20% 3 15% 2.5 10% 2 5% 1.5 0% 1 -5% 0.5 -10% 0 -15% -0.5 -20%
-1
2005 2013 2002 2003 2004 2006 2007 2008 2009 2010 2011 2012 2014 2015 2016
2008 2009 2010 2002 2003 2004 2005 2006 2007 2011 2012 2013 2014 2015 2016 MTRXMLTL Index Combined 60/40 Portfolio MTRXMLTL Index Combined 60/40 Portfolio
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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Overlaying to 60/40 Portfolio We overlay MTRXMLTL to the hypothetical combined 60/40 portfolio with 60% stock and 40% bond allocation. From Exhibit 10 and 11 we can conclude that additional allocation of CS MATRIX Index in the whole portfolio can enhance the performance with higher Sharpe ratio and help investors earn extra profits.
Exhibit 10:Cumulative Index Performance, Exhibit 11:Performance Statistics, Apr 2002 – Sep 2016 Apr 2002 – Sep 2016 Data as of Sep 30, 2016. Data as of Sep 30, 2016.
600 500 400 60/40 60/40 Portfolio+ 60/40 Portfolio+ 300 Portfolio 50% MTRXMLTL 100% MTRXMLTL 200 Annual Return 7.1% 10.3% 13.6% 100 Annual Volatility 11.6% 12.4% 13.6% 0 Sharpe Ratio 0.61 0.76 0.91 2002 2004 2006 2008 2010 2012 2014 2016 Max Drawdown 33% 32% 32%
Combined 60/40 Portfolio Combined 60/40 Portfolio + 50% MTRXMLTL Combined 60/40 Portfolio + 100% MTRXMLTL
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
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Strategy Snapshots
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Smart Beta HS Global Style Rotation Asset Class: Equities BBG Ticker: HSGSRTR Strategy Overview The HS Global Style Rotation Index invests according to investment styles that dominate at each stage of the economic cycle as determined by the Credit Suisse Cycle Clock, an indicator that is a measure of the output gap. The HOLT®1 framework is used to identify stocks with appropriate characteristics for the relevant economic cycle stage. Expert financial ratios and rules are used to pinpoint these qualities systematically. Cumulative Index Performance Performance Summary 200 Live date: October 2009 Last 180 Sept 2016 YTD Since Live 12-Mo. 160 Return 0.57% 6.18% 9.97% 10.97% 140 Volatility 12.96% 15.13% Sharpe Ratio 0.74 0.71 120 Drawdown 12.20% 22.79% 100 Weekly Correlation with Benchmarks 80 Last 12 months 60 MSCI World 96.8% 40 CS Global Govt Bond Index -21.8% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 50.1%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.6% 0.8% 3.6% 5.1% 4.2% -0.7% -1.5% 0.9% 5.9% 2.9% -3.2% -0.9% 2008 -7.9% 1.0% -2.2% 3.0% 4.0% -8.1% 0.3% 0.0% -11.8% -19.4% -5.4% 4.4% 2009 -5.8% -8.7% 6.1% 10.5% 12.4% -0.8% 6.5% 2.7% 3.9% -0.5% 4.2% 2.6% 2010 -4.2% 1.0% 6.7% 0.1% -8.7% -2.5% 8.1% -4.0% 10.5% 4.8% -2.1% 7.1% 2011 2.2% 3.7% 1.1% 5.1% -1.0% -0.5% -1.6% -8.2% -10.1% 11.3% -1.3% -0.7% 2012 5.2% 4.1% 1.2% -2.2% -8.9% 3.9% 2.5% 2.6% 3.2% -0.5% 0.9% 1.6% 2013 6.4% -0.1% 2.5% 2.4% 0.3% -2.3% 6.4% -1.1% 5.5% 3.9% 2.1% 2.5% 2014 -3.8% 5.1% 0.5% 0.7% 3.4% 2.2% -1.9% 3.2% -2.8% 0.5% 1.6% -1.1% 2015 -2.3% 6.0% -1.3% 1.4% 1.3% -2.0% 2.5% -5.8% -3.6% 5.2% -0.9% -0.7%
2016 -5.2% 0.5% 6.2% 0.5% 1.3% 0.1% 3.4% -0.9% 0.6% Source: Credit Suisse; Data as of 09/30/2016 September 2016 Performance Commentary The HS Global Style Rotation Index (HSGSRTR Index) gained 0.6% in September 2016, while the MSCI World (TR) Index gained 0.5%. Year to date, the HS Global Style Rotation Index has increased by 6.2%, compared to a gain of 5.6% for the MSCI World (TR) Index. Over the month, the highest contribution came from the Health Care, Financials and Real Estate sectors which had weightings of 18%, 9% and 1% respectively, as of 31 August 2016. Consumer Staples, Consumer Discretionary and Telecommunication Services had the largest negative impact on the performance of the index. Across countries, Japan, Britain and Switzerland generated the highest contributions in September. United States, Denmark and Germany had the largest negative impact on the performance of the index. Over the month, the best and worst performing stocks were Mitsubishi Tanabe Pharma (Health Care) and Cognizant Tech Solutions (Information Technology), respectively. The index was last rebalanced in August 2016 and is due to be rebalanced again in November 2016. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
1 HOLT® is Credit Suisse’s corporate performance and valuation financial advisory service.
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HS Global Style Rotation Equity Hedged Asset Class: Equities BBG Ticker: HSGSREH
Strategy Overview The HS Global Style Rotation Equity Hedged Index goes short the MSCI World Index against a long position in the HS Global Style Rotation Index to have a net exposure of zero. The index is rebalanced quarterly.
Cumulative Index Performance Performance Summary Live date: April 2010 130 Last Sept 2016 YTD Since Live 12-Mo. Return -0.03% -0.19% -1.99% 1.19% 120 Volatility 3.60% 3.26% Sharpe Ratio -0.55 0.36
Drawdown 2.87% 6.55% 110 Weekly Correlation with Benchmarks Last 12 months MSCI World -53.5% 100 CS Global Govt Bond Index 13.8% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -41.9%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.4% 1.3% 1.7% 0.7% 1.3% 0.0% 0.6% 0.8% 1.1% -0.2% 0.8% 0.3% 2008 -0.4% 1.3% -1.4% -2.4% 2.2% -0.3% 2.4% 1.2% 0.0% -0.5% 1.1% 1.2% 2009 2.7% 1.6% -1.3% -1.0% 2.9% -0.4% -1.9% -1.5% -0.2% 1.4% 0.1% 0.8% 2010 -0.1% -0.5% 0.5% 0.0% 0.8% 0.8% 0.0% -0.3% 1.0% 1.1% 0.1% -0.3% 2011 -0.1% 0.1% 2.0% 0.8% 0.9% 1.0% 0.1% -1.4% -1.5% 0.7% 1.1% -0.7% 2012 0.1% -0.9% -0.1% -1.2% -0.3% -1.2% 1.1% 0.0% 0.4% 0.1% -0.5% -0.4% 2013 1.2% -0.3% 0.1% -0.9% 0.2% 0.1% 1.0% 1.0% 0.5% 0.0% 0.2% 0.4% 2014 -0.2% 0.1% 0.3% -0.4% 1.3% 0.4% -0.4% 1.0% -0.2% -0.2% -0.4% 0.5% 2015 -0.6% 0.1% 0.2% -1.0% 0.9% 0.2% 0.6% 0.8% 0.0% -2.5% -0.5% 1.0%
2016 0.6% 1.2% -0.6% -1.2% 0.6% 1.1% -0.8% -1.1% 0.0% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The HS Global Style Rotation Equity Hedged Index (HSGSREH Index) lost 0.1% in September 2016. Over the same period, the MSCI World (Price) Index gained 0.4%. Year to date, the HS Global Style Rotation Equity Hedged Index declined by 0.2% while the MSCI World (Price) Index gained 3.8%. Over the month and on the long component of the index, the highest contribution came from the Health Care, Financials and Real Estate sectors which had weightings of 18%, 9% and 1% respectively, as of 31 August 2016. Consumer Staples, Consumer Discretionary and Telecommunication Services had the largest negative impact on the performance of the index. Across countries, Japan, Britain and Switzerland generated the highest contributions in September. United States, Denmark and Germany had the largest negative impact on the performance of the index. Over the month and on the long component of the index, the best and worst performing stocks were Mitsubishi Tanabe Pharma (Health Care) and Cognizant Tech Solutions (Information Technology), respectively. The long component of the index was last rebalanced in August 2016 and is due to be rebalanced again in November 2016. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 14 13 October 2016
HS Market Neutral Index Powered by HOLT® Asset Class: Equities BBG Ticker: HSGMN
Strategy Overview The HS Market Neutral Index Powered by HOLT® uses a strategy popular with hedge funds, with the main aim of achieving stable returns: the emphasis is on reducing risk rather than maximizing outperformance. Approximately 75 stocks are held on the expectation that their share prices will go up (long position) and the same number of stocks are held on the expectation that their share prices will go down (short position). Companies included typically exhibit strong/weak cash flows, are undervalued/overvalued, and experience positive/negative investor sentiment. HOLT® uses expert financial ratios and rules to pinpoint these characteristics systematically.
Cumulative Index Performance Performance Summary Live date: September 2007 105 Last Sept 2016 YTD Since Live 12-Mo. 100 Return 0.18% -5.14% -4.88% -1.39% Volatility 4.56% 5.42% Sharpe Ratio -1.07 -0.26 95 Drawdown 7.58% 15.44% Weekly Correlation with Benchmarks 90 Last 12 months MSCI World 19.3% 85 CS Global Govt Bond Index -42.7% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 15.9%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.0% 0.2% -0.6% 2.9% 1.0% -1.4% 1.1% -0.9% -1.3% -1.0% -2.3% 0.6% 2008 0.2% -2.7% 1.4% -2.3% 0.9% -2.3% -0.5% -0.8% -1.5% 1.2% 1.2% -0.1% 2009 2.0% -1.1% -1.4% -2.0% 5.8% -2.5% -1.7% 3.1% -2.8% -0.2% 0.9% -2.0% 2010 0.2% -0.6% 2.9% 0.3% -1.5% -1.1% 1.8% 1.4% 2.2% 0.9% -0.4% 0.6% 2011 1.8% -0.7% 1.1% 0.7% -0.4% -0.5% -1.3% -0.9% -1.0% 2.1% -2.4% 1.2% 2012 0.0% -1.3% -2.7% 1.4% -0.3% -1.5% 1.3% -0.7% 1.4% 1.4% 0.1% 1.6% 2013 2.3% -0.6% -1.7% 2.1% 1.0% -2.4% 1.3% -0.7% -1.4% 0.1% 2.0% 0.1% 2014 0.0% 1.7% 1.2% -0.4% -1.7% -0.7% -0.8% -0.9% -1.1% -0.2% -0.4% -1.6% 2015 -1.4% 0.4% 0.8% -0.2% 2.2% 0.9% -1.8% -0.5% -1.3% -1.0% 1.2% -0.1%
2016 -2.0% -2.0% 0.3% 0.8% 0.8% -3.4% -0.9% 1.1% 0.2% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The HS Market Neutral Index (HSGMN) gained 0.2% in September 2016. Over the same time period, the HFRX Equity Market Neutral Index (HFRXEMN) gained 0.5%. Year to date, the HS Market Neutral Index declined by 5.1% while the HFRXEMN Index declined by 3.8%. The index was rebalanced in early September 2016 and will be rebalanced again in December 2016. Across regions, Germany, Italy and Japan were the best performing geographies in September. Spain, France and South Africa had the largest negative impact on the performance of the index. Consumer Discretionary, Financials and Information Technology were the best performing sectors, while Industrials, Health Care and Real Estate had the largest negative impact on the performance of the index. With regards to the legs of the index, the long side generated positive contribution and the short side of the index produced a negative return. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 15 13 October 2016
Global Enhanced Momentum Strategy Asset Class: Interest Rates BBG Ticker: CSGMEREU
Strategy Overview The Global Enhanced Momentum Strategy (GEMS) uses a systematic trend-following mechanism to allocate daily long/short positions in interest rate swaps (one-, two-, and five-year) across four different yield curves (USD, EUR, CHF, and GBP).
Cumulative Index Performance Performance Summary Live date: January 2012 140 Last Sept 2016 YTD Since Live 12-Mo. 130 Return -0.51% -0.32% -1.00% -0.28% Volatility 1.78% 1.61% 120 Sharpe Ratio -0.56 -0.17 Drawdown 1.67% 2.92% 110 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -11.5% 90 CS Global Govt Bond Index 30.0% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -21.3%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.6% -0.4% -0.7% -0.1% 1.0% 0.7% -0.4% 0.9% 0.9% -0.1% 1.6% -0.3% 2008 3.0% 0.2% -1.0% -0.7% 2.1% 1.1% 0.4% 0.9% 0.3% 4.6% 5.4% 3.3% 2009 1.5% -0.2% 0.5% 0.0% 0.3% -1.6% 0.7% 1.0% 0.9% -0.1% 0.3% -0.9% 2010 0.1% 1.3% 0.1% -0.5% 0.7% 0.4% 0.3% 0.8% -0.4% 0.1% -0.9% 0.2% 2011 -0.2% 0.0% -0.3% 0.4% 0.8% 0.5% 1.3% 1.5% 0.0% -0.6% -0.5% 0.0% 2012 0.7% -0.3% -0.7% -0.5% 0.5% 0.0% 1.1% 0.0% 0.0% -0.1% 0.2% 0.0% 2013 -0.2% -0.5% 0.0% 0.5% -0.6% 0.7% -0.9% -0.7% 0.0% 0.6% 0.2% -0.4% 2014 -0.3% -0.1% -0.3% -0.4% 0.3% -0.2% 0.0% 0.3% 0.1% 0.2% 0.4% 0.3% 2015 1.0% -0.6% -0.2% -0.3% -0.1% -0.2% -0.4% 0.2% 0.3% 0.2% -0.2% -0.7% 2016 0.3% 0.7% -0.6% -0.3% -0.5% 1.0% -0.2% -0.2% -0.5% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary CSGEMS was affected by the choppiness in the rates market for September and fell by 51 bps over the month. Rates markets across the globe exhibited volatility for most of the month and with no clear trend to latch on to some of the swaps switched positions during the month. Rates have started trending lower towards the end and the swaps have correctly positioned themselves into receivers, but this positioning was not sufficient to counter the negative influence on the strategy from the choppy rate markets leading up until then. For more information regarding this index, please contact the European Rates Structuring team at [email protected].
Systematic Alpha Monthly 16 13 October 2016
GAINS 01E Asset Class: Commodities BBG Ticker: CSGADER Strategy Overview Credit Suisse GAINS uses market information from Glencore, one of the world’s largest commodity traders, to reweight the allocation of individual commodities dynamically in a commodity index. Using “votes” from the commodity trading units, the index determines the adjusted weights based on the commodity traders’ outlook on the physical market for each commodity. The CS GAINS methodology can be applied to any commodity benchmark, including BCOMSM, S&P GSCITM, and to a static index weighted by the relative importance of Glencore’s underlying physical businesses. GAINS 01E is the BCOM benchmarked excess return index. Cumulative Index Performance Performance Summary 180 Live date: October 2008 Last 12- Sept 2016 YTD Since Live 160 Mo. Return 3.32% 8.30% -0.56% 0.33% Volatility 14.22% 15.22% 140 Sharpe Ratio -0.04 0.02 Drawdown 17.69% 53.68% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 49.6% 80 CS Global Govt Bond Index 8.5% Oct-08 Oct-10 Oct-12 Oct-14 S&P GSCI 91.6%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 0.5% 4.0% 2009 -0.1% -1.9% 4.6% 2.3% 13.0% -2.4% 1.2% 1.0% -0.4% 2.8% 4.4% 1.5% 2010 -7.1% 4.0% 0.4% 2.7% -7.7% -0.4% 6.6% -1.3% 7.8% 6.1% -0.6% 11.4% 2011 0.9% 1.8% 2.4% 3.2% -5.6% -5.7% 3.4% 2.7% -15.3% 7.1% -2.0% -2.3% 2012 3.3% 2.1% -4.2% 0.1% -8.5% 6.1% 6.3% 4.3% 0.8% -3.9% -0.3% -3.1% 2013 2.7% -3.9% 1.4% -2.8% -2.0% -4.7% 1.4% 3.0% -2.6% -0.8% -1.1% 1.1% 2014 0.9% 6.1% 0.6% 2.7% -2.5% 0.6% -4.8% -0.7% -6.0% -1.3% -3.6% -7.5% 2015 -3.1% 2.0% -4.6% 4.4% -2.1% 1.7% -10.2% -1.2% -3.4% -0.6% -6.7% -2.1%
2016 -1.1% -1.8% 3.8% 7.4% -0.7% 4.1% -4.5% -1.9% 3.3% Source: Credit Suisse; Data as of 09/30/2016 September 2016 Performance Commentary The Credit Suisse GAINS 01E Index returned 3.32% during the month. The first September-week saw a strong rally of crude oil and products on the back of larger-than-expected inventory decreases, a function of the production and logistics disruptions caused by the tropical storm Hermine. Gains were reversed fully the week after unfortunately. Low demand growth specifically out of Asia was reported by the IEA, paired with an expectation of a prolonged S&D surplus given insufficiently elastic production figures. Price action then flattened in expectation of the OPEC meeting in Algiers on Sep 28. The 14 members agreed to cap production at 32.5 – 33Mb/d in 2017, causing an extended crude rally. The Philippines authorities completed their audit and based on environmental concerns the market priced in further mine closures, supporting Nickel prices specifically. The sector could not entirely emancipate itself from the US Federal Reserve’s rate hike expectations either, yet following the release of the Fed’s minutes (no rate increase and a de-emphasis of future hike expectations), fundamentals quickly took hold again. Base Metals ended the month ~5% higher. Gold and Silver trade in line with expected central bank action. Both metals proved sensitive to the re-rating of rate hike expectations in the US and the lack of additional stimulus from the ECB. Overall, the sector finished 0.70% higher after being up 3.75% earlier in the month. With Brazil facing drought and potential frost, Corn and Sugar yield expectations have been reduced, supporting prices. The WASDE report published on September 12 showed higher-than- expected production of Soybean, leading to temporary weakness in Soybean and Bean Oil. For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales.
Systematic Alpha Monthly 17 13 October 2016
Commodity Backwardation Asset Class: Commodities BBG Ticker: CSCUBKER
Strategy Overview The CS Commodity Backwardation Index dynamically allocates to selected components displaying the highest degree of backwardation in their curve structure, aiming to capture the commodities with the tightest supply/demand balance in the investment universe.
Cumulative Index Performance Performance Summary
260 Live date: March 2012 Last Sept 2016 YTD Since Live 12-Mo. Return 2.38% 4.56% 3.15% -7.73% 200 Volatility 12.28% 11.45% Sharpe Ratio 0.26 -0.67 Drawdown 11.64% 43.26% 140 Weekly Correlation with Benchmarks Last 12 months MSCI World 47.5% 80 6.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 CS Global Govt Bond Index S&P GSCI 64.7%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -2.3% 5.5% 2.1% 6.1% 1.5% -2.0% 5.7% -4.8% 6.6% 3.4% -3.5% 1.7% 2008 3.6% 12.6% -5.0% 7.2% 6.8% 7.8% -8.1% -3.8% -7.9% -23.2% -4.9% 6.3% 2009 -0.6% -2.4% 7.1% 1.7% 13.7% -0.6% 7.2% 4.1% 2.4% 3.1% 3.9% 1.4% 2010 -4.9% 3.2% 1.7% 4.7% -6.0% -1.5% 3.6% 1.6% 9.5% 9.6% 0.0% 12.5% 2011 4.2% 6.7% 1.1% 1.9% -3.9% -2.0% 3.8% -1.6% -14.7% 7.5% -0.2% -2.4% 2012 7.4% 5.6% -0.8% -2.6% -9.7% 3.6% 6.5% 7.7% 0.1% -3.8% 1.0% -2.3% 2013 3.2% -2.6% 0.5% -3.0% 0.2% -2.7% 2.4% 2.5% -2.5% -0.5% -0.4% -0.6% 2014 -1.1% 4.2% 1.7% 1.6% -0.9% 0.5% -4.7% -0.8% -5.0% -4.3% -4.8% -7.1% 2015 -1.7% -0.4% -0.9% 5.4% -2.6% -0.5% -6.9% -2.9% -3.5% 3.0% -5.9% 1.1%
2016 -3.7% 4.1% 1.5% 6.3% -3.2% 3.0% -1.9% -3.4% 2.4% Source: Credit Suisse; Data as of 09/30/2016 September 2016 Performance Commentary The Credit Suisse Backwardation Index returned 2.38% during the month. The first September-week saw a strong rally of crude oil and products on the back of larger-than-expected inventory decreases, a function of the production and logistics disruptions caused by the tropical storm Hermine. Gains were reversed fully the week after unfortunately. Low demand growth specifically out of Asia was reported by the IEA, paired with an expectation of a prolonged S&D surplus given insufficiently elastic production figures. Price action then flattened in expectation of the OPEC meeting in Algiers on Sep 28. The 14 members agreed to cap production at 32.5 – 33Mb/d in 2017, causing an extended crude rally. The Philippines authorities completed their audit and based on environmental concerns the market priced in further mine closures, supporting Nickel prices specifically. The sector could not entirely emancipate itself from the US Federal Reserve’s rate hike expectations either, yet following the release of the Fed’s minutes (no rate increase and a de-emphasis of future hike expectations), fundamentals quickly took hold again. Base Metals ended the month ~5% higher. Gold and Silver traded in line with expected central bank action. Both metals proved sensitive to the re-rating of rate hike expectations in the US and the lack of additional stimulus from the ECB. Overall, the sector finished 0.70% higher after being up 3.75% earlier in the month. With Brazil facing drought and potential frost, Corn and Sugar yield expectations have been reduced supporting prices. The WASDE report published on September 12 showed higher-than-expected production of Soybean, leading to temporary weakness in Soybean and Bean Oil. For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales.
Systematic Alpha Monthly 18 13 October 2016
Alternative Risk Premia Global Carry Selector Asset Class: Equities BBG Ticker: GCSCS
Strategy Overview
The Credit Suisse Global Carry Selector Index is an equity volatility arbitrage strategy that extracts the equity risk premium embedded in the option prices of four global indices (S&P 500, DJ Euro Stoxx 50, DAX, and Nikkei 225), while attempting to deliver a low beta to the equity market. The strategy systematically sells variance swaps and opportunistically buys forward variances as a hedge.
Cumulative Index Performance Performance Summary Live date: January 2009 320 Last Sept 2016 YTD Since Live 12-Mo. 280 Return 3.42% -1.17% 7.45% 10.02% 240 Volatility 13.37% 19.98% Sharpe Ratio 0.52 0.49 200 Drawdown 10.40% 35.39%
160 Weekly Correlation with Benchmarks 120 Last 12 months MSCI World 8.0% 80 CS Global Govt Bond Index 0.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 9.5%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 2.2% -5.2% 0.7% 1.6% 5.5% -0.6% -0.7% 7.3% 0.0% 6.1% 5.4% -0.2% 2008 -10.2% 0.1% 6.2% -0.2% 2.4% 1.1% -3.6% 0.8% -7.6% 5.0% 6.9% -1.2% 2009 6.1% 2.7% -1.4% 0.5% 0.9% 0.3% 1.6% 0.6% 6.1% -5.4% 3.8% 2.9% 2010 -1.2% 2.4% 5.2% -1.5% -13.5% -4.2% 9.5% 3.8% 3.9% 5.5% -4.4% 7.5% 2011 1.0% 4.1% 5.7% 6.0% 1.1% 5.6% 3.8% 1.4% -0.2% 4.6% 1.8% 0.3% 2012 7.1% 7.5% 1.2% 1.5% -1.7% 3.8% 0.0% 1.0% 2.8% -1.2% 4.7% 0.4% 2013 3.7% -2.0% -1.6% 2.4% -1.0% -0.6% 1.9% -7.4% 1.2% 1.9% 0.3% -0.9% 2014 -8.3% 2.9% -2.0% 3.2% 2.3% 1.2% 0.8% -3.4% 3.3% -7.4% 0.2% -5.8% 2015 5.2% 6.3% -0.9% 2.7% 4.5% 0.4% -4.1% -15.7% -12.8% 2.5% 2.4% 3.0%
2016 -2.0% 1.6% -0.1% -6.4% 4.0% -5.3% 0.9% 3.2% 3.4% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Global Carry Selector Index (“the Index”) delivered a positive performance of +3.4% for September. From the August roll date (19 August 2016), the Index was short a variance swap in the Nikkei 225 Index with a volatility strike of 20.30%. The Index had no long volatility position as of the August roll date. These positions delivered a positive return of +2.4% to the Index in September to the roll date. On the most recent roll date (16 September 2016), the Index was short a variance swap in the Eurostoxx 50 Index with a volatility strike of 19.74%. The Index had no long volatility position as of the latest roll date. These positions delivered a positive return of +1.0% to the Index in September from the roll date.. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 19 13 October 2016
Global Carry Selector II Asset Class: Equities BBG Ticker: GCSCS2
Strategy Overview The Credit Suisse Global Carry Selector II is an equity volatility arbitrage strategy that extracts the equity risk premium embedded in the option prices of four global indices (S&P 500, DJ Euro Stoxx 50, DAX, and Nikkei 225) while attempting to deliver a low beta to the equity market. The strategy systematically sells variance swaps and opportunistically buys forward variances as a hedge. It succeeds the Global Carry Selector Index, launched in January 2009. Cumulative Index Performance Performance Summary Live date: June 2012 220 Last Sept 2016 YTD Since Live 200 12-Mo. Return 1.21% -0.41% -0.94% -2.08% 180 Volatility 10.38% 8.94% 160 Sharpe Ratio -0.14 -0.26 Drawdown 10.36% 21.83% 140
120 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World 5.6% 80 CS Global Govt Bond Index 7.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 4.4%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.9% -1.2% -0.7% 0.7% 1.6% 0.0% -1.1% 1.8% -0.1% 2.2% 0.6% 1.9% 2008 -3.8% 0.4% -0.8% 1.0% 0.4% 0.5% 1.4% 1.5% -2.4% 9.1% 3.4% 0.9% 2009 -0.8% 2.2% 0.7% 0.7% 2.0% 1.5% 2.1% 0.6% 1.8% -1.3% 1.0% 3.1% 2010 -1.3% 0.5% 3.1% -3.2% 0.8% -3.1% 5.2% 1.6% 2.5% 2.7% -1.8% 3.5% 2011 1.6% 0.8% 0.0% 1.9% 0.7% -0.7% 1.3% 8.3% 1.1% -0.5% 3.0% 1.7% 2012 2.6% 2.0% 1.5% -0.2% 0.9% 4.4% -0.5% 0.5% 1.8% 0.5% 0.3% -0.3% 2013 1.0% -2.1% 0.5% -1.4% -3.7% -3.4% 2.3% -1.5% 2.0% 1.3% 0.3% 1.0% 2014 -2.1% 1.9% 0.2% 1.7% 1.6% 0.8% -1.3% 0.0% 0.6% -6.0% 0.1% 0.4% 2015 -3.6% 4.0% -0.3% 0.2% 0.8% 2.5% -1.8% -6.6% -1.8% 0.2% 0.7% -1.8% 2016 -8.0% 9.8% 0.2% -1.9% 2.6% -6.7% 2.0% 1.4% 1.2% Source: Credit Suisse; Data as of 09/30/2016 September 2016 Performance Commentary The Credit Suisse Global Carry Selector II Index (the "Index") delivered a positive return of +1.2% for September. On the August roll date (19 August 2016), the Index was short a variance swap in the Eurostoxx 50 Index with a volatility strike of 22.15%, in addition to the existing short variance swap positions in the Eurostoxx 50 Index with a volatility strike of 31.17% and in the S&P 500 Index with a volatility strike of 14.84% (with one and two months remaining, respectively). The Index had no long volatility position as of the August roll date. These positions delivered a negative return of -0.4% in September to the roll date. On the most recent roll date (16 September 2016), the Index was short a new variance swap in the Nikkei 225 Index with a volatility strike of 24.73%, in addition to the existing short variance swap positions in the S&P 500 Index with a volatility strike of 14.84% and in the Eurostoxx 50 Index with a volatility strike of 22.15% (with one and two months remaining, respectively). The Index had no long volatility position as of the latest roll date. These positions delivered a positive return of +1.7% to the Index in September from the roll date. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 20 13 October 2016
Advanced Relative Value Volatility Index Asset Class: Equities BBG Ticker: CSEAARVL
Strategy Overview The Credit Suisse Advanced Relative Value Volatility Index aims to capture the term premium or discount embedded in the carry (roll yield) of the S&P 500 VIX futures curve based on the expected decay at the short- and medium-term of the VIX futures curve. The index maintains a limited exposure to the absolute level of the VIX index by entering into a long or short position in the S&P 500 VIX Short-Term Futures Index ER (Bloomberg: SPVXSP), while taking an opposite position in the S&P 500 VIX Medium-Term Futures Index. It incorporates a loss-control mechanism.
Cumulative Index Performance Performance Summary Live date: September 2012 200 Last Sept 2016 YTD Since Live 180 12-Mo. Return -0.73% 6.80% 2.01% -3.63% 160 Volatility 6.78% 6.22% Sharpe Ratio 0.30 -0.58 140 Drawdown 6.73% 22.65%
120 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World 42.3% 80 CS Global Govt Bond Index -16.7% Apr-08 Apr-10 Apr-12 Apr-14 Apr-16 S&P GSCI 12.7%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 2.9% -2.6% -1.1% 1.1% 2.1% 13.1% 0.0% 0.5% 2009 -0.2% 0.3% 0.1% 1.6% 0.0% 1.0% 1.5% 1.2% 2.8% 0.3% 1.5% 1.9% 2010 0.2% 0.7% 3.6% 1.4% -1.4% -0.8% 3.2% 2.2% 3.2% 2.4% 0.1% 1.7% 2011 0.4% -1.3% -1.5% 3.3% 0.4% -1.0% -1.7% 6.6% 2.2% -1.6% 0.3% 0.6% 2012 3.7% 1.3% 4.7% -1.1% -2.0% 3.7% -0.7% 1.9% 0.2% -1.5% 0.8% -0.8% 2013 -1.7% -0.7% 2.4% -2.4% 0.7% -1.4% 2.6% -1.2% 0.4% -1.2% 1.2% -2.2% 2014 -0.5% -2.0% -0.4% -0.1% 2.9% 0.8% -1.7% -1.0% -1.2% -3.1% 1.3% -4.0% 2015 -1.4% 2.1% 1.2% 1.8% 1.3% -2.3% 0.0% -5.0% -0.9% -1.0% -1.5% -2.1% 2016 -0.7% -1.8% 3.6% 1.8% 2.9% -4.2% 3.8% 2.2% -0.7% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary Advanced RVOL was down 0.73% in September (SPVXSP Index: -4.63%, SPVXMP Index: - 3.17%). The index had average position of -20% / 20% weights on the short-term and mid-term VIX future Index as VIX future curve remained in contango during the month. Advanced RVOL was down as volatility increased due to uncertainty ahead of BOJ/Fed meeting causing short-term future Index to increase more than mid-term future Index. For more information regarding this index, please contact US Equity Derivatives Structuring at [email protected].
Systematic Alpha Monthly 21 13 October 2016
Mean Reversion Index on Euro Stoxx 50 Asset Class: Equities BBG Ticker: CSEAMREU
Strategy Overview The Credit Suisse Mean Reversion Index aims to provide direct exposure to weekly mean reversion on the Euro Stoxx 50 Index through a liquid and transparent strategy. The index isolates exposure to mean reverting behavior by adjusting its exposure based on the prevailing volatility regime.
Cumulative Index Performance Performance Summary Live date: March 2013 180 Last 12- Sept 2016 YTD Since Live Mo. Return 0.56% 10.93% 11.38% 3.44% 160 Volatility 7.82% 7.72% Sharpe Ratio 1.40 0.41 140 Drawdown 3.83% 10.64%
Weekly Correlation with Benchmarks 120 Last 12 months MSCI World 13.0% 100 CS Global Govt Bond Index 11.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 17.0%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 2.7% -0.1% 2.2% -0.8% 0.2% 2.6% 0.4% 3.4% 1.0% 0.0% 0.3% 0.6% 2008 -3.8% 5.5% 0.6% -0.5% 0.9% -2.4% 0.8% 1.7% 5.9% -1.9% 1.5% 3.7% 2009 -1.1% -1.5% -1.9% 1.5% 0.4% 1.7% -3.3% 0.7% 0.7% -1.0% -0.5% 1.9% 2010 -2.0% 1.4% -0.9% 2.9% 2.0% -0.9% 1.9% -0.3% -0.5% -0.3% 0.1% 0.8% 2011 0.8% 2.0% -1.2% -1.9% 2.0% 2.2% 2.0% -5.8% 5.2% 3.7% 2.6% -0.4% 2012 -0.4% 0.8% 0.8% 0.3% 0.6% 2.7% 6.2% -0.2% -1.2% 4.3% 0.3% -0.6% 2013 0.4% 2.1% -0.4% 4.2% -1.7% 1.7% -1.2% 0.0% -2.2% -0.3% 0.4% -0.7% 2014 0.0% -1.4% 1.9% -0.1% 0.7% 0.6% 1.7% -2.9% 0.5% -4.5% 0.0% 1.3% 2015 0.0% -1.1% 1.1% 1.5% 0.7% 0.5% -1.3% -1.8% 2.8% -2.5% 0.9% 2.2% 2016 0.3% 2.1% 0.9% -1.4% -0.3% 7.5% -0.2% 1.1% 0.6% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Mean Reversion on EuroSTOXX50 Index delivered a positive return of 0.6% in September while the underlying price return index on the EuroSTOXX50 finished the month with a negative performance of -0.7%. The index started the month slightly negative as European equity markets initially trended upwards. A sharp reversal temporarily brought the index into the black, however the strategy fell back to negative territory as the Eurostoxx 50 continued to fall lower. Finally, several big swings in the Eurostoxx 50 towards the end of month enabled the index to recover and end the month positively. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 22 13 October 2016
Dividend Alpha Index on Euro Stoxx 50 Asset Class: Equities BBG Ticker: CSEADVAE
Strategy Overview The Credit Suisse Dividend Alpha Index invests in Euro Stoxx 50 dividend futures to systematically harvest the embedded dividend risk premium. The index looks to isolate the dividend risk premium by going long the two front futures contracts and stripping out the portion of the return attributable to equity price action with an offsetting position in the Euro Stoxx 50 price index.
Cumulative Index Performance Performance Summary Live date: October 2013 180 Last 12- Sept 2016 YTD Since Live Mo. 160 Return 1.28% 4.10% 3.69% 1.39% 140 Volatility 3.00% 3.96% Sharpe Ratio 1.23 0.35 120 Drawdown 2.16% 5.74%
100 Weekly Correlation with Benchmarks 80 Last 12 months MSCI World -11.0% 60 CS Global Govt Bond Index 17.2% Jul-08Jul-09Jul-10Jul-11Jul-12Jul-13Jul-14Jul-15Jul-16 S&P GSCI -6.3%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 1.9% -1.0% -18.5% 12.1% -2.6% 2009 -1.2% 9.2% -0.4% 3.6% 3.6% 4.1% 7.0% -0.3% 4.3% 3.7% 4.0% 2.0% 2010 2.0% -1.3% 0.7% 0.7% -4.7% -2.0% 4.4% 2.6% 2.6% -0.9% -0.6% -0.4% 2011 3.1% 1.6% 0.6% -0.1% -0.3% -0.1% 0.1% -1.3% 5.5% -3.9% -0.7% -0.4% 2012 7.1% 4.4% -1.4% 1.2% -1.0% 1.0% -7.1% 5.2% 1.5% 3.2% -0.3% -1.2% 2013 1.0% 0.6% 0.0% 1.9% 1.0% -2.8% 0.1% 1.6% 0.3% -0.1% -0.3% 0.9% 2014 1.2% -0.3% 0.1% -0.3% -1.3% -0.8% 0.8% -0.3% 1.4% -2.0% 2.6% -1.4% 2015 -2.1% 3.7% 1.0% 1.1% 0.5% -0.6% 0.4% -2.3% -1.5% -0.4% 0.0% 0.0% 2016 0.6% 2.3% 1.1% 0.1% -0.1% -0.8% -0.2% -0.3% 1.3% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Dividend Alpha Total Return Index delivered a positive return of +1.3% in September, while European equities performed negatively, with the EuroSTOXX50 Total Return Index losing -0.6%. At the beginning of the month, the dividend exposure was 29% in the 2016 dividend future with the remaining 71% in the 2017 dividend future. The index's performance was primarily driven by the performance of the 2017 dividend future, which gained +1.0% during the month, in contrast to the 2016 dividend future which gained +0.4% over the same period. The beta hedging component had a positive contribution to the Index in September (+0.5%). For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 23 13 October 2016
Adaptive Volatility Index Global Asset Class: Interest Rates BBG Ticker: CSVIXAEU
Strategy Overview The Adaptive Volatility Index exploits the bias between implied and realized volatility in global interest rate options markets (USD, EUR, JPY) by selling one-month into ten-year swaptions and delta-hedging until expiry. The strategy aims to improve risk-adjusted returns by adjusting its leverage based on the prevailing volatility environment. Four versions of CSAVI are available, one for each market (USD, EUR and JPY) and CSAVI Global, which combines the three strategies based on equal weighting.
Cumulative Index Performance Weekly Correlation with Benchmarks 350 Last 12 months 300 MSCI World 30.2% 250 CS Global Govt Bond Index -3.4% 200 S&P GSCI -2.2% Source: Credit Suisse; Data as of 09/30/2016 150 100 50 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Source: Credit Suisse; Data as of 09/30/2016
Performance Summary
Since Live CSAVI Global (CSVIXAEU) Sept 2016 YTD Last 12-Mo. (Sep 2012) Return 0.58% 3.24% 4.93% 2.37% Volatility 4.07% 4.06% Sharpe Ratio 1.21 0.58 Drawdown 3.07% 7.53% Since Live CSAVI USD (CSVIXUSD) Sept 2016 YTD Last 12-Mo. (Mar 2009) Return 0.67% 6.15% 8.42% 12.89% Volatility 5.69% 9.28% Sharpe Ratio 1.48 1.39 Drawdown 3.88% 17.28% Since Live CSAVI EUR (CSVIXEUR) Sept 2016 YTD Last 12-Mo. (Sep 2012) Return -1.20% 6.44% 6.70% 4.42% Volatility 5.12% 6.12% Sharpe Ratio 1.31 0.72 Drawdown 3.16% 10.07% Since Live CSAVI JPY (CSVIXJPY) Sept 2016 YTD Last 12-Mo. (Jan 2011) Return 2.28% -2.81% -1.45% 1.99% Volatility 5.82% 6.44% Sharpe Ratio -0.25 0.31 Drawdown 5.92% 20.14% Source: Credit Suisse; Note: Data as of 09/30/2016 September 2016 Performance Commentary The Adaptive Volatility Index Global gained 0.58% in September. The USD and JPY sub- strategies gained 0.67% and 2.28%, respectively; the EUR sub-strategy lost 1.2%. The leverage ratio is 0.5 for USD and EUR; and 0.5 for JPY most of the time in September, except 1.0 for the 20th roll day. For more information regarding this index, please contact the European Rates Structuring team at [email protected].
Systematic Alpha Monthly 24 13 October 2016
Adaptive Term Premium Index Asset Class: Interest Rates BBG Ticker: CATPU2P6
Strategy Overview The Credit Suisse Adaptive Term Premium Index (CSATPI) systematically exploits the persistent positive bias between implied forward rates and realized rates at the front end of the LIBOR and Euribor yield curves. It identifies situations to go long or short interest rate futures conditioned on the momentum of changes in rates, the slope of the yield curve, and volatility in the rates market.
Cumulative Index Performance Performance Summary Live date: January 2011 130 Last Sept 2016 YTD Since Live 12-Mo. Return -0.21% 2.83% 3.40% 2.06% 120 Volatility 3.02% 2.97% Sharpe Ratio 1.13 0.69 110 Drawdown 1.64% 5.55%
100 Weekly Correlation with Benchmarks Last 12 months MSCI World -40.4% 90 CS Global Govt Bond Index 35.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -42.1%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.5% -1.2% 0.6% 0.6% 1.8% 0.4% 0.2% -0.2% 0.3% 0.2% 2.3% -0.7% 2008 2.2% 0.3% -0.4% -0.2% 0.6% 0.7% 1.1% 0.3% -0.6% 0.9% 0.9% 1.3% 2009 0.3% 0.3% 1.2% -0.1% 0.7% -0.6% 0.3% 0.1% 0.4% 0.3% 1.0% -1.0% 2010 1.2% 1.0% 0.0% 0.8% 0.1% 0.7% 0.7% -0.2% 1.4% 0.9% -1.9% -0.4% 2011 2.0% -0.2% -0.3% 0.4% -0.2% -0.1% -0.8% -0.6% 0.3% -0.1% 0.7% 0.8% 2012 -0.5% 0.0% -0.1% 1.0% -0.3% 0.5% 1.5% 0.2% 0.3% -0.4% 0.4% -0.1% 2013 -2.0% 0.8% -0.3% 1.0% -1.3% -1.4% 0.2% 0.0% 0.5% 0.5% 0.5% -0.7% 2014 0.0% -0.2% -0.3% 0.8% 0.7% -0.1% -1.0% 1.2% 0.5% 0.7% 0.3% -0.2% 2015 0.9% 0.1% 0.4% 0.0% 0.1% -0.1% 0.4% 0.5% 1.2% 0.8% 0.4% -0.7% 2016 1.7% 0.1% -0.7% -0.2% -0.3% 2.9% -0.3% -0.2% -0.2% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Adaptive Term Premium Index (CSATPI) had the return of -0.2% during September 2016. The EUR sub-strategy returned -0.04%, while the USD sub-strategy returned - 0.16%. Short Signal was triggered at the beginning of September for Eurodollar Futures because of the money market rate changes. Euribor Futures remained long position for the whole month.
For more information regarding this index, please contact the European Rates Structuring team at [email protected].
Systematic Alpha Monthly 25 13 October 2016
Commodity Backwardation RV Asset Class: Commodities BBG Ticker: CSCUBKAE
Strategy Overview The Credit Suisse Commodity Backwardation RV Index maintains a long exposure to the CS Commodity Backwardation Index, which dynamically allocates to selected components displaying the highest degree of backwardation in their curve structure, aiming to capture the commodities with the tightest supply/demand balance in the investment universe, and a short exposure to the Bloomberg Commodity Index.
Cumulative Index Performance Performance Summary Live date: February 2009 Last 320 Sept 2016 YTD Since Live 12-Mo. Return -0.72% -4.25% 4.98% 2.88% 260 Volatility 10.51% 8.41% Sharpe Ratio 0.47 0.34
200 Drawdown 10.64% 10.64%
140 Weekly Correlation with Benchmarks Last 12 months MSCI World -16.9% 80 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 CS Global Govt Bond Index 0.3% S&P GSCI -55.9%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -2.0% 2.5% 1.5% 5.4% 1.8% -0.3% 4.0% -0.8% -1.1% 0.4% -0.1% -2.7% 2008 -0.3% 0.5% 1.5% 3.7% 4.2% -1.1% 3.9% 3.6% 3.8% -1.9% 2.1% 10.8% 2009 4.7% 2.0% 3.6% 1.0% 0.7% 1.3% 4.0% 4.7% 0.8% -0.2% 0.3% -0.6% 2010 2.3% -0.5% 2.9% 2.8% 0.9% -1.8% -3.1% 4.2% 2.2% 4.6% 0.4% 1.8% 2011 3.2% 5.4% -0.9% -1.5% 1.2% 3.0% 0.8% -2.6% 0.1% 0.9% 2.0% 1.4% 2012 4.9% 2.9% 3.4% -2.1% -0.5% -1.8% 0.1% 6.4% -1.6% 0.1% 0.9% 0.3% 2013 0.8% 1.5% -0.2% -0.2% 2.4% 2.0% 1.1% -0.9% 0.0% 1.0% 0.4% -1.8% 2014 -1.4% -2.1% 1.3% -0.8% 2.0% -0.1% 0.3% 0.2% 1.3% -3.5% -0.7% 0.5% 2015 1.6% -2.9% 4.2% -0.3% 0.1% -2.2% 3.8% -2.0% -0.1% 3.5% 1.4% 4.2% 2016 -2.0% 5.7% -2.3% -2.2% -3.0% -1.1% 3.3% -1.6% -0.7% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Backwardation RV Strategy returned -0.72% during the month. Industrial Metals had a strong month (up 2.56%, driven mainly by Lead) however the contribution was negative from all other sectors (especially energy which was down 1.12%). For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales.
Systematic Alpha Monthly 26 13 October 2016
Commodity Momentum Long/Short Asset Class: Commodities BBG Ticker: CSCUMLSE
Strategy Overview The Credit Suisse Momentum Long/Short Index aims to produce positive absolute returns regardless of the commodity cycle. It takes long positions in the commodities exhibiting the strongest upward price trends and short positions in the commodities exhibiting the strongest downward price trends.
Cumulative Index Performance Performance Summary Live date: February 2009 200 Last Sept 2016 YTD Since Live 12-Mo. Return -0.07% -7.14% 2.44% 2.05% 160 Volatility 14.21% 10.95% Sharpe Ratio 0.17 0.19
Drawdown 14.75% 14.75% 120 Weekly Correlation with Benchmarks Last 12 months MSCI World -37.0% 80 CS Global Govt Bond Index 15.3% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -82.9%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.2% 1.4% -0.3% 5.1% 0.9% -3.7% -2.4% 4.1% 1.6% 2.5% 4.0% 2.7% 2008 -2.2% 3.0% 1.2% 1.8% 9.5% 4.6% -4.7% -2.4% -0.9% -2.0% -0.2% -0.5% 2009 1.0% 0.2% -2.2% -0.3% -3.1% -4.3% 3.1% 7.2% -1.3% -2.2% 0.1% 2.9% 2010 0.9% 0.9% 7.9% -1.9% -5.5% -5.6% -6.9% 5.6% -0.6% 2.4% -1.8% 2.6% 2011 0.5% 5.9% 0.3% 4.2% -0.4% -2.3% 0.0% 2.9% -4.0% 0.6% 3.0% -1.6% 2012 1.2% 3.3% 3.1% -1.0% -0.1% -2.7% 3.2% 3.2% -7.4% -0.5% -0.1% -1.9% 2013 0.3% -0.6% 0.6% 3.2% 1.0% 1.3% 2.0% 0.4% 0.4% 0.7% 2.0% 2.6% 2014 -1.0% -4.9% -0.7% 2.8% 1.2% -0.4% 3.7% 0.1% 4.0% -3.5% 3.0% 1.7% 2015 3.4% -8.6% 3.3% -3.7% -0.4% -1.7% 1.6% -0.6% 1.4% 1.9% 1.8% 5.4% 2016 0.6% 2.0% -2.8% -3.4% -2.6% -0.6% 4.0% -4.2% -0.1% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Momentum Long/Short returned -0.07% during the month. The gains in Industrial Metals, Agriculture, and Precious Metals (0.29%, 0.31%, and 0.33% respectively) were counterbalanced by the loss in Energy (-1.00%). For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.
Systematic Alpha Monthly 27 13 October 2016
Commodity Custom 24 Alpha Asset Class: Commodities BBG Ticker: CSCUS24A
Strategy Overview The Credit Suisse Custom 24 Alpha Index provides exposure to a congestion arbitrage strategy in commodities. It maintains a leveraged long exposure to a version of the Bloomberg Commodity Index which rolls the underlying futures positions earlier than normal, and a leveraged short exposure to the Bloomberg Commodity Index itself.
Cumulative Index Performance Performance Summary Live date: February 2009 500 Last Sept 2016 YTD Since Live 440 12-Mo. Return 1.10% 8.60% 15.15% 11.13% 380 Volatility 8.15% 10.31% 320 Sharpe Ratio 1.86 1.08 Drawdown 6.23% 12.34% 260 200 Weekly Correlation with Benchmarks Last 12 months 140 MSCI World -15.5% 80 CS Global Govt Bond Index 11.9% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -15.8%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.4% 2.1% -0.6% 4.6% -0.4% 4.4% -0.6% 4.1% 2.2% 1.5% 4.7% 3.7% 2008 1.3% 2.4% 1.1% 0.2% -1.2% 0.1% -0.2% 1.6% 1.2% 4.0% 0.7% 6.9% 2009 5.8% 7.5% 2.7% 6.1% 2.2% 0.2% -0.6% 2.4% 1.6% 1.9% 2.7% 1.9% 2010 1.9% 0.5% 1.0% 3.2% 1.0% -1.3% -2.4% 4.8% -1.3% 3.2% 0.6% -0.2% 2011 1.4% 8.1% 0.0% 0.7% 1.0% 0.7% 1.1% 2.1% -0.3% -1.0% -0.9% 1.2% 2012 0.9% 0.9% 1.3% -3.5% 6.8% -8.9% 1.8% 3.9% -0.3% 0.2% 1.6% 1.5% 2013 0.8% 1.6% 0.8% 1.7% 6.3% -2.3% 2.8% 2.8% 0.8% 0.4% 0.1% -0.8% 2014 -2.2% 4.9% 1.6% 1.2% 0.1% 3.8% 2.4% 0.8% 0.1% 1.5% 1.2% 1.7% 2015 0.9% 0.5% 0.5% -1.9% -2.4% 1.1% -0.7% -0.1% 0.2% 3.4% 0.6% 3.1% 2016 -1.5% 4.4% 1.0% -1.7% 1.7% 2.2% 0.3% 0.8% 1.1% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Custom 24 Alpha returned 1.10% during the month. There was a positive performance in all sectors apart from Livestock (-0.30%). The main driver was the strong performance in Energy (1.17%). For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.
Systematic Alpha Monthly 28 13 October 2016
Commodity Custom 88 Enhanced Asset Class: Commodities BBG Ticker: CSCUE88E
Strategy Overview The Credit Suisse Custom 88 Enhanced Index provides dynamic exposure to carry returns in commodities. It allocates short exposure to time spreads in selected commodities with the tenor of the spreads varying according to the relative risk/reward.
Cumulative Index Performance Performance Summary Live date: February 2009 180 Last Sept 2016 YTD Since Live 12-Mo. 160 Return 0.94% 2.30% 3.85% 2.24% Volatility 4.11% 3.14% 140 Sharpe Ratio 0.93 0.71
Drawdown 2.20% 3.61% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -36.0% 80 CS Global Govt Bond Index 3.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -52.4%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.5% 1.6% 0.9% 1.4% 0.4% 0.6% 0.7% 1.9% 1.2% 1.6% 0.9% 1.4% 2008 2.4% 1.2% 2.2% 0.4% 0.5% 1.6% -0.2% -0.7% 0.1% 1.6% -0.1% 2.6% 2009 1.0% 1.6% 0.4% 2.2% -1.5% 0.9% 1.5% 2.6% -1.3% -0.2% 1.2% -0.7% 2010 0.8% -0.5% 0.5% 0.5% 0.5% -0.6% -0.9% 1.1% -0.1% 1.1% 0.3% -0.2% 2011 0.0% 2.0% 1.2% 1.9% 1.2% 0.7% 0.0% 0.6% -0.3% 0.2% -0.1% 0.4% 2012 1.0% 0.6% 1.7% -0.1% -0.5% -0.7% -0.1% 0.6% -0.4% 0.1% -0.1% 0.5% 2013 -0.8% 0.7% -0.5% 0.3% 0.5% -0.9% -0.3% -0.2% 0.7% 1.1% 0.3% -0.1% 2014 -0.4% -0.4% -1.0% 1.1% 1.3% 0.0% 1.9% 0.6% -1.1% 1.4% -0.7% 1.1% 2015 1.2% 1.1% 0.6% -1.2% -0.2% 0.3% 0.2% -0.6% 0.0% -0.1% 1.2% 0.5% 2016 0.3% 2.2% -0.2% -0.1% 0.2% -1.4% 1.4% -1.0% 0.9% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Enhanced 88 Strategy returned 0.94% during the month. Lean Hogs had a very good month, returning 1.36% with moderately negative performance in the other components. For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.
Systematic Alpha Monthly 29 13 October 2016
FX Metrics Carry Asset Class: Currencies BBG Ticker: FXMXCEUS
Strategy Overview The Credit Suisse FX Metrics Carry: Foreign Currency Strategy systematically trades FX carry in 18 currencies with one-month Cash Settled Forwards. It invests in an equally weighted basket of top high-yielding currencies and selling an equally weighted basket of low-yielding currencies.
Cumulative Index Performance Performance Summary Live date: March 2010 115 Last Sept 2016 YTD Since Live 12-Mo. 110 Return 0.61% 5.47% 8.25% -0.67% 105 Volatility 9.33% 7.32% Sharpe Ratio 0.89 -0.09 100 Drawdown 7.67% 20.39% 95 Weekly Correlation with Benchmarks 90 Last 12 months MSCI World 66.8% 85 CS Global Govt Bond Index -45.9% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 43.2%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.5% -0.1% -45.9% 89.2% 3.2% 2.1% -0.6% -3.0% 2.2% 1.9% -48.2% 87.2% 2008 -2.9% -1.2% -6.2% 5.1% 1.8% -1.7% 2.4% 0.0% -6.4% -9.2% -0.6% -0.5% 2009 0.8% 2.3% 2.5% 3.2% 2.2% 2.0% -0.4% -1.1% 2.1% 1.0% -2.3% 4.1% 2010 -1.3% -0.5% 2.1% 3.0% -2.6% -0.6% -0.2% -1.5% 2.3% -0.2% 1.0% 1.4% 2011 -2.3% 0.3% 1.9% 0.9% -0.7% -0.5% -1.3% -1.1% -4.0% 3.9% -1.2% 1.1% 2012 2.1% 2.4% -2.6% -0.5% -1.2% 1.5% 1.0% -1.0% -0.2% -0.1% 0.1% 1.8% 2013 0.8% 0.5% 0.9% 0.7% -3.1% -2.3% -1.5% -2.6% 1.8% 0.5% -0.3% -2.0% 2014 -1.3% 1.8% 3.1% 0.1% 0.7% 0.5% 0.6% 1.9% -2.4% 1.4% -0.2% -0.5% 2015 -2.5% 0.0% -1.3% -0.1% -0.6% -1.3% -2.5% -4.3% -2.4% 3.5% 2.1% -2.7% 2016 -1.1% -0.5% 2.3% 0.5% -1.1% 3.8% 0.5% 0.3% 0.6% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The FX Metrics Carry index gained 0.61% for the month of September 2016. The strategy continues to produce the same carry signals since April of this year. ZAR soared during the month, itself gaining 1.2% in the portfolio amid inflows into the country’s bond market and speculation related to the AB Inbev buying Rand for its M&A activity with SABMiller. AUD, BRL and NZD were the other gainers in the index, at 0.3%, 0.08% and 0.06% respectively. The Yen dropped the most in the strategy. With a short position, the Yen appreciated against the Dollar roughly 2%, leaving a loss of 0.32% for the month. With no major action from the BOJ towards the end of the month, the Yen has generally appreciated throughout the month, continuing its safe haven status. For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.
Systematic Alpha Monthly 30 13 October 2016
FX Metrics Momentum Asset Class: Currencies BBG Ticker: FXMXMEUS
Strategy Overview The Credit Suisse FX Metrics Momentum: Foreign Currency Strategy systematically trades FX carry in 18 currencies with one-month Cash Settled Forwards. It invests in currencies in an upward trend (against the USD) and selling those in a downward trend (against the USD).
Cumulative Index Performance Performance Summary Live date: March 2010 130 Last Sept 2016 YTD Since Live 12-Mo. 120 Return 0.56% -3.92% -3.34% 0.11% Volatility 6.13% 6.05% Sharpe Ratio -0.54 0.02 110 Drawdown 7.73% 18.49%
100 Weekly Correlation with Benchmarks Last 12 months MSCI World -41.7% 90 CS Global Govt Bond Index -9.7% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -36.4%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -1.3% 0.2% 0.9% 1.7% -0.2% 0.3% -0.5% -1.8% 4.7% 2.6% -0.8% -0.2% 2008 0.5% 2.5% 1.0% -0.2% 1.3% 0.9% 0.3% -4.3% 1.0% 7.9% 2.6% -3.4% 2009 6.6% 0.9% -4.8% -3.4% -2.6% 1.3% -0.5% 0.4% 2.3% -0.3% 1.5% -1.6% 2010 -1.7% 0.1% 0.5% 0.6% -2.8% 0.6% -2.0% 0.4% 1.7% 0.4% -3.9% 3.9% 2011 0.5% 1.3% 1.2% 4.2% -1.9% 0.2% 1.3% -1.2% -5.1% -0.8% 1.7% 0.0% 2012 -2.9% -0.8% -1.0% -1.0% 3.7% -3.2% 0.9% -1.4% -1.3% 0.0% -0.1% 0.0% 2013 1.1% -1.6% -0.1% -0.5% -0.8% -0.5% -0.8% 0.3% -0.4% -1.0% -0.5% 1.3% 2014 0.1% -0.4% -1.2% -0.6% -0.2% -0.6% -0.3% 0.4% 1.2% 0.7% 1.1% 3.3% 2015 3.0% -0.1% 2.1% -3.3% 1.5% -0.4% 1.9% 1.6% 1.1% -1.4% 2.1% -0.3%
2016 1.2% -0.8% -4.3% 1.1% -2.0% 1.5% -0.3% -0.8% 0.6% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The FX Metrics Momentum index gained 0.57% during September 2016. The momentum signals remained mostly the same, with CAD, NOK and PLN turning bearish from long positions based on the medium term signal. Again the South African Rand was the biggest gainer, rising 0.44% on speculation of currency demand with the AB Inbev and SABMiller M&A activity. Other gainers were the Peso and Yen, at 0.12% and 0.11% respectively. The Krona was the biggest loser at 0.16%, while the CAD lost 0.05%. Unfortunately for the NOK and CAD, the signal changed mid- month while the currency incurred loses both on the rise and fall during the month. For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.
Systematic Alpha Monthly 31 13 October 2016
FX Metrics Value Asset Class: Currencies BBG Ticker: FXMXVEUS
Strategy Overview The Credit Suisse FX Metrics Value: systematically trades FX carry in 18 currencies with one- month Cash Settled Forwards. It exploits currencies' mean-reversion towards equilibrium levels based on the CS Fair Value Model. The Strategy buys the cheapest currencies and sells the most expensive ones on an equally-weighted basis.
Cumulative Index Performance Performance Summary Live date: March 2010 125 Last Sept 2016 YTD Since Live 120 12-Mo. Return 0.38% 1.50% 3.91% -0.09% 115 Volatility 6.99% 5.09% 110 Sharpe Ratio 0.56 -0.02 Drawdown 5.19% 9.77% 105
100 Weekly Correlation with Benchmarks Last 12 months 95 MSCI World 63.1% 90 CS Global Govt Bond Index -21.5% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 59.3%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.9% 0.1% 0.2% -0.3% 2.1% 0.7% 0.3% 0.2% -1.3% -0.7% 0.9% -0.6% 2008 -1.0% -3.6% -2.1% 2.1% 0.2% -1.6% 2.7% 4.1% 0.9% 2.6% 1.6% -3.8% 2009 5.3% 1.6% 3.8% 2.0% -2.1% 0.5% -0.2% -0.2% -2.3% 0.6% 1.5% -0.2% 2010 1.8% -0.5% -1.1% -1.5% 1.5% -0.3% 0.2% -0.2% 0.0% 0.1% -1.1% -2.3% 2011 2.1% 1.0% -0.5% -1.1% -0.7% -1.5% -3.0% -0.5% 2.5% -2.4% 1.5% 0.3% 2012 -0.1% 1.0% 1.1% 1.0% -0.5% 0.8% 0.2% 1.2% 2.1% -1.1% 0.0% -0.4% 2013 -2.1% -0.3% -1.9% 0.1% 1.9% 2.7% 0.8% 0.2% -2.9% 0.1% 1.0% -0.5% 2014 -0.8% -0.5% -0.2% 0.2% 0.6% -2.4% -0.1% -0.1% 0.6% -0.5% 0.2% -0.8% 2015 0.7% 0.7% 0.5% -0.2% 1.0% 0.4% -0.4% -1.0% -1.3% 1.9% 0.7% -0.3% 2016 0.9% 0.9% 2.1% 2.2% -2.5% -1.4% -0.4% -0.6% 0.4% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The FX Metrics Value index gained 0.38% for the month of September. The fair value signal indicator remains the same from August. The Rand was also long in the Value strategy, and contributed a positive return to the strategy at 1.2%. The NOK was the only other positive currency for the month, at 0.07%. The remaining ten positions all lost small amounts, ranging from 0.01% to 0.35%, with the biggest loser being the Peso. The fair value signal determined the Peso to be undervalued, going long in the strategy. However, the US election has weighted on MXN. Trump showed gains in the polls during mid-September, prompting traders to sell the Peso overall. Though after the first debate, the currency recovered a bit as Clinton was generally perceived to win the debate. The other big loser was the Aussie Dollar, at 0.32%. For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.
Systematic Alpha Monthly 32 13 October 2016
Dynamic Multi Asset Allocation RAII HOLT®: Risk Appetite Investible Index Powered by HOLT® Asset Class: Hybrid BBG Ticker: RAIIHUST Strategy Overview The Credit Suisse Risk Appetite Investable Indices offer investors a rules-based asset allocation between equities and bonds. The core concept is to use a highly disciplined rule system to reduce risk (decrease equities) when investors are unusually optimistic, and to add risk when investors are unusually pessimistic, as measured by extremes in the Credit Suisse Global Risk Appetite Index (“CS GRAI”). RAII Powered by HOLT® Total Return consists of: (1) the Credit Suisse HOLT® Long Index Total Return (HSGMNLTR); and (2) a bond portfolio tracking the Citigroup World Government Bond Index.
Cumulative Index Performance Performance Summary Live date: April 2010 240 Last 12- Sept 2016 YTD Since Live 220 Mo. 200 Return 1.15% -1.07% 3.37% 6.26% Volatility 15.32% 14.05% 180 Sharpe Ratio 0.19 0.43 160 Drawdown 11.82% 25.63% 140 Weekly Correlation with Benchmarks 120 Last 12 months 100 MSCI World 80.8% 80 CS Global Govt Bond Index -12.3% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 43.0%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.8% 1.1% 1.9% 5.3% 2.7% -1.7% -1.4% -3.8% 2.6% 3.0% 0.9% -0.6% 2008 4.2% -1.1% 1.1% 4.6% 3.2% -8.0% -1.3% -2.1% -1.5% -4.8% -4.1% 4.3% 2009 -8.2% -8.1% 5.3% 9.7% 13.8% -1.2% 7.9% 4.7% 2.4% -2.5% 4.4% 0.9% 2010 -3.0% 0.3% 5.0% -0.4% -7.5% 0.4% 5.5% -0.3% 5.9% 4.4% -2.0% 7.1% 2011 2.5% 3.5% -1.8% 3.3% -1.9% 0.1% 1.8% 4.0% -7.4% 6.9% -6.5% -2.5% 2012 4.2% 5.5% -0.9% -0.3% -9.6% 1.2% 0.7% 1.1% 3.8% 0.8% 0.9% 3.2% 2013 5.8% -0.9% 1.8% 4.2% 0.8% -4.2% 5.7% -2.2% 5.4% 2.9% 1.5% 1.5% 2014 -2.3% 5.8% 0.2% 0.2% 1.0% 0.6% -2.8% -2.0% -3.4% -0.4% -0.6% -3.3% 2015 -0.7% 3.9% -1.1% 2.2% 2.2% -2.2% 0.5% -9.9% -1.4% 3.9% -1.0% 0.2%
2016 -3.7% -4.1% 6.5% 2.1% 0.5% -6.7% 3.6% 0.3% 1.1% Source: Credit Suisse; Data as of 09/30/2016 September 2016 Performance Commentary During September the RAII HOLT Total Return Index’s allocation model reverted to a 100% allocation to equities following a positive signal from the Trend Model. The allocation model is positioned as follows: Global Risk Appetite: the Global Risk Appetite Index started the month at 0.47 and deteriorated to 0.06 by month end. The contrarian component is not active at these levels. Stop Losses: Currently active, should equity markets fall significantly from here, the stop will move the allocation towards 50/50; Equity Valuation: The metric of equity valuation remains comfortably below long term extremes, so the valuation component of the allocation model is not currently relevant; Trend Following: the Trend signal turned positive in September. Significant equity market weakness or bond strength from here could lead to a 100% allocation to bonds. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 33 13 October 2016
RAII HOLT® Relative Value Asset Class: Hybrid BBG Ticker: RAIIHRVU
Strategy Overview RAII Powered by HOLT® Relative Value consists of a long component and a short component. The long component comprises (1) the Credit Suisse HOLT® Long Index Total Return (HSGMNLTR) and (2) a bond portfolio tracking the Citigroup World Government Bond Index. The short component consists of a static portfolio of 50% MSCI World Index and 50% cash. The index can have an equity exposure of -50% to +50% and has a volatility control mechanism that maintains volatility at or below 10%.
Cumulative Index Performance Performance Summary Live date: April 2011 180 Last 12- Sept 2016 YTD Since Live Mo. 160 Return 0.45% -5.07% -5.60% -0.25% Volatility 9.56% 8.41% 140 Sharpe Ratio -0.63 -0.06 Drawdown 8.63% 22.84% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 34.8% 80 CS Global Govt Bond Index -0.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 17.7%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.0% 1.1% 0.8% 2.9% 1.1% -1.5% -0.5% -4.0% 0.1% 1.3% 2.9% -0.3% 2008 6.5% -0.7% 1.2% 1.8% 2.3% -4.2% -0.3% -1.5% 2.9% 2.8% -0.4% 1.2% 2009 -1.9% -2.3% 1.8% 3.4% 6.4% -0.7% 3.0% 2.5% 0.4% -1.6% 2.3% 0.0% 2010 -0.9% -0.3% 1.9% -0.4% -2.8% 2.1% 1.6% 1.5% 1.2% 2.6% -1.0% 3.6% 2011 1.2% 1.7% -1.3% 1.3% -1.0% 0.8% 2.7% 7.6% -2.4% 1.7% -3.5% -1.6% 2012 1.3% 2.2% -1.2% 0.1% -5.3% -1.3% 0.1% -0.1% 2.4% 1.1% 0.3% 2.7% 2013 2.8% -1.0% 0.7% 2.6% 0.8% -3.0% 3.0% -1.1% 2.9% 1.0% 0.6% 0.6% 2014 -0.5% 3.2% 0.1% -0.3% 0.0% -0.3% -2.0% -3.1% -2.1% -0.8% -1.6% -2.8% 2015 0.5% 1.0% -0.4% 1.0% 2.0% -1.0% -0.3% -7.1% 0.9% 0.0% -0.8% 0.6% 2016 -0.3% -3.7% 3.0% 1.1% 0.4% -6.6% 0.8% 0.1% 0.4% Source: Credit Suisse; Data as of 09/30/2016 September 2016 Performance Commentary During September the RAII HOLT Relative Value Index’s allocation model reverted to a 50% net allocation to equities (100% in the long strategy) following a positive signal from the Trend Model. The allocation model is positioned as follows: Global Risk Appetite: the Global Risk Appetite Index started the month at 0.47 and deteriorated to 0.06 by month end. The contrarian component is not active at these levels; Stop Losses: Currently active, should equity markets fall significantly from here, the stop will move the net equity allocation towards 0% (50% equities / 50% bonds in the long strategy); Equity Valuation: The metric of equity valuation remains comfortably below long term extremes, so the valuation component of the allocation model is not currently relevant; Trend Following: the Trend signal turned positive in September. Significant equity market weakness or bond strength from here could lead to a 50% allocation to bonds (100% in the long strategy). For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 34 13 October 2016
ARROW 6% Asset Class: Hybrid BBG Ticker: ARROWUT6
Strategy Overview The Credit Suisse ARROW index is a simple, long only, research-based index that invests across various liquid asset classes: equities, bonds, commodities, and real estate. The index is rebalanced monthly to capture market trends and timing. Its transparent allocation mechanism consists of three layers that aim to maximize return for a given target volatility: (1) Trend-following signals, (2) Markowitz optimization, and (3) Volatility control mechanism.
Cumulative Index Performance Performance Summary Live date: November 2011 160 Last Sept 2016 YTD Since Live 12-Mo. Return 0.29% 9.84% 7.78% 2.05% 140 Volatility 5.35% 5.12% Sharpe Ratio 1.37 0.35
Drawdown 4.07% 11.91% 120 Weekly Correlation with Benchmarks Last 12 months MSCI World 5.4% 100 CS Global Govt Bond Index 69.9% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 3.1%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.6% 0.4% 0.8% 1.6% 0.3% -0.5% 1.8% -0.3% 4.0% 4.1% -0.7% 0.6% 2008 2.4% 2.4% -1.2% -1.5% 0.4% 0.5% -0.9% -1.4% -1.5% -3.2% 2.0% 3.3% 2009 -2.0% -0.5% 0.2% -0.1% 3.6% -0.1% 3.1% 1.5% 3.6% -0.1% 3.0% -2.4% 2010 -1.0% 0.0% 1.0% 1.3% -1.7% 2.2% -0.9% 1.7% 2.9% 1.9% -3.0% 1.2% 2011 -1.3% 1.4% 0.6% 2.0% -1.3% -1.3% 3.1% 4.4% -2.0% 0.4% -0.5% -0.7% 2012 2.4% 1.6% -0.9% 1.5% -2.4% 1.2% 2.0% 0.1% 1.2% -0.4% 0.5% 0.9% 2013 0.9% -0.3% 0.9% 3.1% -4.1% -3.5% 1.4% -1.3% 0.4% 1.1% -0.3% 0.5% 2014 -1.6% 2.0% -0.6% 1.4% 1.8% 1.0% -1.7% 1.3% -4.3% 2.1% 0.3% -0.4% 2015 2.1% -1.3% -0.3% 0.0% -1.0% -2.2% -0.8% -0.5% 0.1% -0.2% -1.8% -0.4% 2016 1.3% 1.7% 1.0% 0.8% -0.8% 3.8% 1.8% -0.3% 0.3% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary There was varied performance across the range of assets within ARROW's universe in September. ARROW, which was in a Risk-Neutral portfolio stance throughout the month, finished up with a positive performance of +0.3%. Most of the strategy's positions contributed positively in September: commodities (+4.1%), emerging market equity (+1.3%), gold (+1.0%) and emerging market bonds (+0.3%). ARROW's risk remained in a Risk-Neutral portfolio stance on the August roll date. The strategy increased its exposure by 10% to inflation linked bonds (from 0% to 10%), by 5% to US government bonds (from 5% to 10%) and subsequently lowered its allocation to gold (from 15% to 5%) and to commodities (from 5% to 0%). For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 35 13 October 2016
Multi-Asset Futures Strategy Asset Class: Hybrid BBG Ticker: CSMF1ER
Strategy Overview The Credit Suisse Multi-Asset Futures Strategy (CSMF1) is a long/short systematic investment strategy that dynamically adjusts its exposure to futures markets in commodities, equities, foreign exchange, and interest rates based on trend-following signals.
Cumulative Index Performance Performance Summary Live date: October 2011 200 Last Sept 2016 YTD Since Live 180 12-Mo. Return 2.38% 2.14% 3.98% 2.53% 160 Volatility 11.56% 9.19% Sharpe Ratio 0.34 0.27 140 Drawdown 13.69% 16.34% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -58.6% 80 CS Global Govt Bond Index 37.9% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -57.3%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.3% 1.6% 2.9% 1.8% 1.9% -0.5% 0.4% 1.5% 2.6% 3.7% -1.9% 2.0% 2008 1.6% 5.9% -1.1% 0.2% 4.8% 4.1% -8.0% -0.3% 10.3% 15.3% 5.1% 0.0% 2009 3.6% 3.0% -7.4% -0.3% 0.0% 0.0% -0.2% 1.8% 0.4% -3.5% 3.3% -1.0% 2010 -3.6% 0.1% 1.9% 2.1% -9.2% -0.7% -0.8% 1.9% 1.2% 3.6% -2.3% 8.5% 2011 2.1% 4.6% -0.7% 5.0% -7.5% 0.3% 1.8% -1.8% 4.0% -4.2% 6.3% 2.0% 2012 -2.4% 0.3% 3.0% -1.2% -1.5% -4.2% -1.4% -1.0% -2.8% -2.7% -0.5% 0.2% 2013 1.1% -0.7% 1.6% 0.0% -0.4% 1.7% -0.7% -1.0% -0.7% 1.8% 1.4% 0.3% 2014 0.2% 0.8% -1.6% 1.8% -1.8% 0.6% 0.5% 0.8% 4.2% -0.5% 3.6% 3.2% 2015 -0.3% -2.9% 2.9% -5.7% 0.7% -1.7% 5.2% -0.6% 1.3% -2.8% 2.7% 1.5% 2016 4.6% 2.6% -7.4% -0.3% -2.1% 3.6% -1.6% 1.0% 2.4% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Multi-Asset Futures Strategy returned 2.38% during the month. The main drivers of the positive performance were Livestock (mainly Lean Hogs which were up 1.48%) with other sectors having a less significant contribution. For more information regarding this index, please contact Mi-Sonn Kim (mi-sonn.kim@credit- suisse.com) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.
Systematic Alpha Monthly 36 13 October 2016
MASTRO Asset Class: Hybrid BBG Ticker: CSMST4E
Strategy Overview The Credit Suisse MASTRO 4% EUR Index is an algorithmic index that offers exposure to indices across diversified asset classes, including Equity, FX, and Commodities. The index comprises three Credit Suisse absolute return sub-indices – Equity: HS Global Style Rotation Equity Hedged Index (HSGSREHE), FX: CS FX Factor Index (FXFTEREU), and Commodities: CS MOVERS Market Neutral Index (CSMVNEER) – and uses an intelligent weighting mechanism to optimize returns for the given 4% maximum volatility. Low correlation between the sub-indices enables the combined strategy to provide stable and attractive returns with low volatility across different macroeconomic environments.
Cumulative Index Performance Performance Summary Live date: August 2010 125 Last Sept 2016 YTD Since Live 12-Mo. 120 Return 0.65% -1.90% -2.42% -1.66% Volatility 7.82% 4.67% 115 Sharpe Ratio -0.31 -0.35
Drawdown 5.51% 15.75% 110 Weekly Correlation with Benchmarks 105 Last 12 months MSCI World 7.3% 100 CS Global Govt Bond Index 0.3% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 0.5%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.2% 0.7% 1.1% 0.9% 0.8% 1.1% 0.6% 0.8% 1.2% 0.8% 1.4% 1.4% 2008 -1.3% 1.5% -0.6% 0.3% 3.4% 0.4% -0.8% -0.9% -1.9% 0.7% 0.5% 0.2% 2009 2.2% 0.5% -0.2% 0.8% 1.0% 0.8% 0.3% 0.8% -1.4% -0.8% -0.1% 0.9% 2010 -0.5% -0.8% 1.0% -0.3% -0.1% 0.1% -2.1% 0.5% -0.4% 1.1% -0.5% 0.4% 2011 -0.7% 0.7% 1.1% 1.8% -2.0% 0.8% 0.0% -1.5% -2.2% -0.8% 1.1% -0.1% 2012 1.1% 1.1% -0.2% -0.4% -2.2% -0.5% 1.5% -1.3% -0.9% 0.1% -0.9% -0.2% 2013 0.4% -0.4% -0.2% -0.9% 0.7% 1.6% 0.7% 0.1% -0.1% 0.1% 0.5% 0.7% 2014 -0.2% -1.2% -0.5% 0.7% -0.2% -0.7% -1.1% 0.3% -0.4% -0.1% 0.3% 0.5% 2015 -1.6% -1.0% 0.2% -1.3% 0.8% -1.0% 0.0% -0.7% 0.1% -1.0% 0.1% 0.0% 2016 0.4% 0.8% -0.7% -0.5% 1.1% 0.4% -2.8% -1.2% 0.7% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse MASTRO 4% EUR Index gained 0.7%. The HS Global Style Rotation Equity Hedged Index was flat, The CS FX Factor Index gained 0.69%. The CS MOVERS Market Neutral Index gained 2.25%. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 37 13 October 2016
Systematic Tactical Asset Allocation Asset Class: Hybrid BBG Ticker: STAAUE
Strategy Overview The Systematic Tactical Asset Allocation (STAA) index is a long-only asset allocation strategy based on short-term momentum and long-term mean reversion. The index gains daily long exposure to global equities, government bonds, commodities and real estate when it detects a short-term upward trend and relies on long-term reversal patterns to implement caps and floors for each asset class.
Cumulative Index Performance Performance Summary Live date: October 2013 160 Last Sept 2016 YTD Since Live 150 12-Mo. Return 0.05% 1.90% -0.34% -0.14% 140 Volatility 4.99% 4.87% 130 Sharpe Ratio -0.07 -0.03
120 Drawdown 7.21% 14.93% 110 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 64.8% 90 CS Global Govt Bond Index 20.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 54.4%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.3% -0.3% 0.2% 1.5% -0.1% -1.0% -0.2% -1.5% 2.0% 2.4% -0.3% 0.1% 2008 0.4% 2.8% 0.1% -1.1% 0.3% -2.1% -2.2% -1.4% -1.4% 0.0% 3.9% 2.5% 2009 -3.8% -2.2% 2.9% 3.0% 4.9% -1.5% 5.6% 3.1% 0.9% -0.3% 1.9% 1.0% 2010 -2.6% 1.2% 2.9% 1.0% -3.8% 0.5% 0.8% 0.4% 2.6% 1.3% -1.6% 2.5% 2011 1.5% 2.7% -0.6% 2.9% -1.9% -1.8% 1.6% -0.6% -0.3% -0.2% -0.1% 1.0% 2012 1.3% 2.1% -0.1% -0.4% -4.4% 1.4% 1.3% 0.0% 0.5% -0.5% 1.3% 1.1% 2013 1.8% 0.3% 1.7% 2.1% -1.4% -2.6% 2.2% -0.5% 1.7% 1.5% 0.1% -0.5% 2014 -0.5% 1.3% -0.3% 0.8% 1.2% 0.9% -0.7% 1.0% -1.4% 1.2% 1.3% 0.4% 2015 2.0% 0.7% 0.3% 0.1% -0.3% -2.0% -2.2% -2.7% -0.8% -0.1% -1.2% -1.0%
2016 -1.6% 0.5% 0.4% 0.7% -0.1% 1.8% 0.6% -0.3% 0.1% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary There was varied performance across the range of assets within CS STAA's universe in September. The strategy, which started the month with a significant allocation to bonds, finished the month with a positive performance of +0.1%. Most of the strategy's positions contributed positively in September, led by exposure to commodities (+4.1%), emerging market equity (+1.2%), Euro treasuries (+0.6%), Japanese treasuries (+0.4%), gold (+0.4%) and US treasuries (+0.1%). The remainder of the positions exhibited negative performance: Japanese equity (-2.0%), global real estate (-1.1%), European equity (-0.8%) and US equity (-0.2%). The CS STAA Index marginally increased its allocation to equities (up 3.8% to 31.6%) following improved trends. Consequently, the strategy has reduced its allocation to bonds (down 3.2% to 43.1%). Other long- term mean reversion signals remained the same, with commodities deemed oversold and US and European treasuries deemed overbought. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 38 13 October 2016
TEMPO Asset Class: Hybrid BBG Ticker: CSEATMP6
Strategy Overview The Credit Suisse Tactical Mean-Variance Portfolio Optimizer (TEMPO) Index seeks to apply modern portfolio theory in the form of Mean-Variance Optimization analysis to allocate a notional portfolio across various asset classes via long only exposure in ETFs. The strategy identifies the hypothetical portfolio that over a recent historical period would have resulted in the highest volatility adjusted return on daily basis. The Volatility Targeted Index attempts to control the volatility of the index to a predefined level.
Cumulative Index Performance Performance Summary Live date: February 2014 190 Last Sept 2016 YTD Since Live 12-Mo. 170 Return -1.87% 3.63% 0.09% 0.28% Volatility 6.76% 5.97% 150 Sharpe Ratio 0.01 0.05 Drawdown 4.50% 16.16% 130 Weekly Correlation with Benchmarks 110 Last 12 months MSCI World 7.4% 90 CS Global Govt Bond Index 28.5% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -0.7%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.3% 0.3% -0.9% -1.4% 0.2% 3.2% 6.0% 1.5% 2.3% 3.9% 0.5% -2.2% 2008 3.0% -0.3% -0.5% 0.3% 1.8% 0.3% -1.0% 0.6% -2.0% 8.8% 1.9% 3.3% 2009 0.1% -0.6% 1.5% -0.9% 1.1% -0.4% 1.0% -0.3% -0.4% -0.9% 2.5% -1.1% 2010 0.0% -0.4% 1.4% 2.2% 1.4% -0.2% 0.2% 1.1% 1.8% 1.6% -0.1% 1.5% 2011 0.4% 1.3% -1.6% 3.3% -1.2% -1.9% 1.0% 5.3% 0.4% 0.7% -1.1% 0.4% 2012 1.5% 0.0% -1.0% 0.3% 0.8% -1.5% 2.0% -0.6% 1.8% -0.7% -0.4% 0.4% 2013 0.1% 0.6% 1.2% 1.0% -2.5% 2.3% -0.5% -0.8% -4.4% 1.9% 0.1% 0.8% 2014 -0.3% 1.2% -1.2% -0.8% 1.5% -0.2% -1.0% 1.1% -0.1% 0.8% 0.9% -1.2% 2015 5.2% -1.1% -0.9% -0.4% -1.2% -2.1% -1.1% -5.2% -1.6% -0.6% -1.3% -1.8% 2016 1.7% 2.1% 2.3% 0.2% -0.9% 1.2% 0.8% -1.7% -1.9%
Source: Credit Suisse; Data as of 09/30/2016 EEM GLD HYG IYR LQD SHY SPY TIP USO UUP VIXY Monthly Performance Attribution 0.39% -0.08% 0.10% 0.00% -0.30% 0.00% -0.08% -0.04% -0.20% 0.03% -1.66%
Source: Credit Suisse
September 2016 Performance Commentary TEMPO was down 1.9% in September. It was mainly led down by VIXY (VIX), LQD (IG Bond) which had average exposure of 6%, 8% and contributed -1.7%,-0.3% to Index performance. The Index has positive attribution from EEM(Emerging Markets) with average weight of 16% and attribution of 0.39% to Index performance. For more information regarding this index, please contact US Equity Derivatives Structuring at [email protected].
Systematic Alpha Monthly 39 13 October 2016
Portfolio Hedging Equity Dynamic Tail Hedge SPX Index Asset Class: Equity BBG Ticker: CSEADTSP
Strategy Overview The Credit Suisse Dynamic Tail Hedge SPX Index is a rule-based algorithm on the SPX Index that achieves long equity tail risk protection through exposure to three-month ratio put spreads (short 95% strike puts, long 80% strike puts) when indicators identify extreme negative market scenarios and is allocated to cash during stable markets. If only one of its indicators identifies a negative market scenario, the strategy allocates 50% to cash and the other 50% to the hedging component. If none of its indicators identify market stress, the strategy is entirely allocated to cash. The index relies on two indicators – CDS spreads on US companies and the skew level of the S&P 500.
Cumulative Index Performance Performance Summary Live date: December 2011 160 Last Sept 2016 YTD Since Live 12-Mo. Return -0.04% -5.15% -6.25% -6.09% 140 Volatility 1.89% 2.22% Sharpe Ratio -3.58 -2.86 120 Drawdown 6.41% 25.34%
Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 24.7% 80 CS Global Govt Bond Index -9.7% Jul-07 Jul-09 Jul-11 Jul-13 Jul-15 S&P GSCI 4.6%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.4% 0.3% -0.3% -3.3% -0.4% 2008 -1.5% -0.7% -1.7% -0.2% 0.1% 0.0% -2.3% -1.2% 2.5% 38.0% -3.5% -0.7% 2009 -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.8% -0.1% 2010 -0.1% -0.6% -0.1% -0.1% 8.0% -2.3% -1.5% -0.1% -0.1% -0.1% -0.1% -0.1% 2011 -0.1% -0.3% -1.5% -0.1% -0.1% -0.1% -1.0% 17.9% -1.0% -0.8% -0.1% -0.1% 2012 -0.1% -0.1% -0.1% -0.1% -2.1% -1.4% -0.1% -0.1% -0.1% -0.1% -0.1% 0.0% 2013 -0.3% -0.1% -0.1% -1.1% -0.1% -1.6% -0.3% -0.1% -0.1% -0.7% -0.1% -0.1% 2014 -0.2% -1.0% -0.3% -0.1% -0.1% -0.1% -0.1% -0.8% -0.7% -2.0% -0.1% -0.7% 2015 -1.5% -0.2% -0.1% -0.1% -0.1% -0.2% -1.0% -1.0% -4.1% -0.6% -0.1% -0.4% 2016 -2.8% -0.3% -0.2% 0.0% 0.0% -1.7% 0.0% 0.0% 0.0% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Equity Dynamic Tail Hedge on S&P 500 Index was flat in September (0.0%). The Skew and CDS signals remained OFF for the entire month of September, implying a 0% index allocation throughout the month. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 40 13 October 2016
Cheapest Slide Index Asset Class: Equity BBG Ticker: CSEACHPS
Strategy Overview The Credit Suisse Cheapest Slide index aims to gain long exposure to Euro Stoxx 50 implied volatility at the lowest possible cost of carry by entering into long forward-starting variance swaps and positioning at the most advantageous point on the term structure.
Cumulative Index Performance Performance Summary Live date: December 2011 280 Last Sept 2016 YTD Since Live 12-Mo. 240 Return -0.75% -7.57% -10.54% -11.39% Volatility 15.04% 10.61% 200 Sharpe Ratio -0.73 -1.10 Drawdown 21.49% 43.89% 160 Weekly Correlation with Benchmarks 120 Last 12 months MSCI World -85.3% 80 22.0% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 CS Global Govt Bond Index S&P GSCI -47.6%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -1.2% 0.2% -1.1% -1.0% -0.6% 0.2% 2.1% 5.9% -6.1% -2.7% -0.9% -2.4% 2008 2.1% 0.1% -0.8% -3.8% 0.2% 0.3% -0.7% -0.2% 10.0% 117.9% 13.7% -4.9% 2009 0.7% -1.0% -0.7% -3.2% -0.6% -0.5% -0.6% -0.3% -0.5% 0.3% -0.7% -2.4% 2010 -1.7% -0.8% -1.4% 1.4% 8.3% -0.2% -2.0% 0.1% -1.1% -1.9% 1.7% -2.9% 2011 -0.9% -0.2% -0.9% -0.7% -0.7% -0.7% -0.9% 18.5% 8.8% -8.2% 0.8% -3.5% 2012 -2.5% -1.3% -0.9% 0.1% 1.5% -2.3% -0.2% -0.4% -1.2% -1.7% -1.9% -0.6% 2013 -2.9% 0.4% -0.5% -2.9% -2.4% -0.4% -2.8% 0.4% -2.4% -1.0% -1.0% -1.1% 2014 1.8% -2.4% -0.6% -2.4% -1.2% -1.0% -0.3% -1.9% -0.8% -2.8% -1.2% 1.6% 2015 -1.4% -2.6% 0.2% -0.5% -1.1% 10.2% -11.1% 3.7% 1.1% -3.3% -1.0% 0.6% 2016 6.3% -1.5% -7.6% -0.6% -2.1% 1.3% -2.0% -0.3% -0.8% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Cheapest Slide Index delivered a negative return of 0.8% in September amidst falling European equity markets, with the EuroSTOXX50 Total Return Index delivering a negative return of -0.6%. On the August roll date (19 August 2016), the Index was long the December 2016 forward-starting variance swap of two-month maturity with volatility strike of 27.36%. This position delivered a negative return of -0.1% to the Index in September to the roll date. On the most recent roll date (16 September 2016), the Index extended its position in the same December 2016 forward starting of two month maturity, with volatility strike of 27.62%. This position delivered a negative return of -0.6% to the Index in September from the roll date. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].
Systematic Alpha Monthly 41 13 October 2016
Advanced Defensive Volatility Index Asset Class: Equity BBG Ticker: CSEAADVL
Strategy Overview The Credit Suisse Advanced Defensive Volatility Index aims to gain long exposure to S&P 500 implied volatility based on the expected decay at the short and medium term of the VIX futures curve. The strategy enters into a long position in either the S&P 500 VIX Short-Term Futures Index or the S&P 500 VIX Medium-Term Futures and incorporates a loss-control mechanism.
Cumulative Index Performance Performance Summary Live date: September 2012 200 Last Sept 2016 YTD Since Live 12-Mo. 180 Return -0.30% -4.92% -12.98% -10.20% 160 Volatility 9.43% 8.90% Sharpe Ratio -1.38 -1.15 140 Drawdown 11.85% 37.93% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -71.1% 80 14.0% Apr-08 Apr-10 Apr-12 Apr-14 Apr-16 CS Global Govt Bond Index S&P GSCI -46.0%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 0.1% 0.2% -2.2% 0.0% 6.6% 32.6% 4.7% 1.7% 2009 0.4% 2.6% -1.0% -0.4% -0.8% -0.2% 0.0% 0.1% -0.2% 0.1% -0.2% -0.4% 2010 -0.4% -0.4% -0.2% 0.4% 4.5% 1.0% -0.9% 0.4% -0.3% -0.7% 0.0% -0.6% 2011 -0.6% -0.5% -2.1% -0.4% -0.1% -0.8% -1.6% 18.7% 12.6% -5.6% 1.3% -0.4% 2012 -0.5% 0.1% -0.9% 0.0% 0.6% -0.6% -0.3% -0.1% -1.0% 0.1% -0.6% -0.2% 2013 -4.3% 0.3% -0.2% -0.6% 0.3% 0.3% -0.9% 0.3% -0.4% -4.5% -0.3% -2.7% 2014 1.8% -5.3% -0.5% -0.5% -0.2% -0.5% 0.2% -2.5% 0.4% -5.3% -0.1% -3.2% 2015 -0.5% -0.9% 0.1% -0.3% -0.3% 0.1% -1.3% 3.7% -0.3% -7.3% -0.4% -1.0% 2016 1.6% -2.3% -0.8% 0.2% -0.3% -2.5% -0.6% 0.0% -0.3% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary Advanced DVOL was down 0.30% in September (SPVXSP Index: -4.63%, SPVXMP Index: - 3.17%). The Index had a weight of 5% in mid-term future Index during the whole month except in the middle when it switched to short-term future (5%) for a day ahead of BOJ/Fed meeting. Index was down due to decay of mid-term future index. For more information regarding this index, please contact US Equity Derivatives Structuring at [email protected].
Systematic Alpha Monthly 42 13 October 2016
Tail Risk Overlay Protection Strategy Asset Class: Interest Rates BBG Ticker: CSTSERUS
Strategy Overview The Credit Suisse Tail risk Overlay Protection Strategy (CSTOPS) trades US and euro zone bond futures, with tenors ranging from three months to ten years when the model detects upward momentum in these futures. The strategy focuses on upward momentum in interest rate futures prices because the goal is to mitigate one-sided tail risk.
Cumulative Index Performance Performance Summary Live date: August 2011 220 Last Sept 2016 YTD Since Live 200 12-Mo. Return -0.11% 1.14% 0.14% 2.57% 180 Volatility 5.05% 5.14% 160 Sharpe Ratio 0.03 0.50 Drawdown 3.48% 6.33% 140
120 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World -29.3% 80 CS Global Govt Bond Index 48.1% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -29.4%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.9% 0.5% -0.8% 5.6% -2.7% 2008 9.0% 2.8% -2.3% -5.3% -0.1% 0.0% 0.0% 0.1% -1.8% 12.4% 10.4% 13.3% 2009 -0.9% 2.7% 2.4% -0.7% 1.6% -4.7% 1.9% 2.0% 2.4% 0.6% 3.8% -2.5% 2010 3.5% 3.0% 0.4% 0.9% 2.4% 1.6% 0.7% 3.0% -2.0% -0.3% -1.5% 0.1% 2011 -0.7% 0.3% -0.7% 0.6% 1.2% -1.2% 5.4% 6.0% 1.4% -1.7% 0.1% 1.2% 2012 0.9% -0.1% -1.2% 1.5% 1.9% -1.4% 4.1% -0.3% -0.3% -0.6% 0.1% -0.2% 2013 -2.0% 0.0% 0.0% 0.5% -1.8% -0.4% 0.0% 0.0% 0.1% 0.6% 0.4% -1.8% 2014 0.5% -0.2% -0.6% 0.6% 1.5% 0.1% -0.3% 1.6% 0.1% -0.6% 0.9% -0.2% 2015 2.1% -0.5% 0.3% -0.4% -0.2% -0.6% 0.2% 0.0% 1.0% 0.1% 0.2% -1.4% 2016 1.6% 0.9% -1.7% -0.4% -0.1% 2.8% -1.0% -0.7% -0.1% Source: Credit Suisse; Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Tail Risk Protection Strategy (CSTOPS) had the return of -0.11% during the ninth month in year 2016. The index value changes were caused by the decrease of underlying futures prices. SCHATZ Futures and 4th Euribor Futures remained long position for the whole month, while BOBL and BUND Futures was risk off for several days in the middle of the month. For US Treasury Futures, Euro Dollar Futures and 1st, 2nd and 3rd Euribor Futures , no signal changed during this month and they kept zero positions. For more information regarding this index, please contact the European Rates Structuring team at [email protected].
Systematic Alpha Monthly 43 13 October 2016
Liquid Alternative Beta Liquid Alternative Beta Asset Class: Hybrid BBG Ticker: CSLAB
Strategy Overview The Credit Suisse Liquid Alternative Beta Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to approximate the aggregate returns of the universe of hedge fund managers as represented by the Credit Suisse Hedge Fund Index. The algorithm has been determined by an index committee, taking into consideration extensive quantitative research into alternative beta. It benefits from accurate daily valuations with objective and transparent rules-based construction.
Cumulative Index Performance Performance Summary Live date: December 2009 150 Last Sept 2016 YTD Since Live 140 12-Mo. Return 0.45% 3.62% 4.16% 3.76% 130 Volatility 3.92% 5.62% Sharpe Ratio 0.95 0.62 120 Drawdown 5.91% 10.40% 110 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 86.4% 90 CS Global Govt Bond Index -27.5% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 49.4%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.1% 1.2% 1.9% 2.5% 1.0% -0.2% -0.6% 0.4% 3.8% 3.0% -2.4% 0.3% 2008 -3.9% 2.6% 0.0% 2.0% 1.2% -1.1% -0.6% -0.9% -6.5% -7.6% -0.7% 3.5% 2009 1.2% -0.6% 2.2% 1.1% 2.1% 1.0% 2.0% 0.7% 1.7% -0.4% 0.6% 0.8% 2010 0.0% 0.8% 1.0% 1.1% -2.6% -0.4% 3.1% -1.1% 3.6% 1.1% -1.3% 2.8% 2011 0.2% 1.6% 1.3% 1.8% -0.9% -0.6% -0.9% -3.4% -3.6% 4.2% -0.4% 0.9% 2012 1.3% 1.7% -0.8% -0.3% -2.3% 1.4% 0.9% 0.5% 0.6% -0.6% -0.2% 1.1% 2013 1.1% -0.2% 1.2% 1.1% 0.0% -1.1% 1.7% -1.0% 1.4% 1.7% 0.8% 0.5% 2014 -0.9% 1.5% 0.3% 0.1% 0.6% 0.6% -1.3% 1.8% -0.9% 0.6% 1.4% -0.3% 2015 -0.3% 2.6% 0.3% -0.4% 0.8% -2.0% 1.4% -2.2% -1.4% 2.7% -0.6% -1.5% 2016 -1.4% 0.1% 1.2% 0.1% 0.5% 0.7% 1.4% 0.6% 0.5%
Source: Credit Suisse; Bloomberg, Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Liquid Alternative Beta Index was up 0.45% for the month of September, mainly due to its long high yield credit, currency carry and Nasdaq 100 exposure. Within Event Driven, the Russell 2000 position was removed and exposure to the Merger Arbitrage strategy and high yield credit increased slightly. Within Long/Short, the short MSCI Emerging Markets and Materials positions were removed, while short S&P 500 and Russell 2000 positions have been added. Within Global Strategies, positions remained relatively unchanged. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].
Systematic Alpha Monthly 44 13 October 2016
Long/Short Liquid Index Asset Class: Equities BBG Ticker: CSLABLS
Strategy Overview The Credit Suisse Long/Short Liquid Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to track the performance of the Credit Suisse Long/Short Equity Hedge Fund Index by allocating weights to non-hedge fund, transparent market factors. The algorithm has been determined by an index committee, taking into consideration extensive quantitative research into systematic ways of achieving certain risk/return profiles by using alternative investing techniques. The index is calculated daily by the NYSE and benefits from objective and transparent rules-based construction.
Cumulative Index Performance Performance Summary Live date: April 2008 140 Last Sept 2016 YTD Since Live 12-Mo. Return 0.46% -1.07% 2.99% 4.09% 120 Volatility 5.79% 9.14% Sharpe Ratio 0.44 0.40
Drawdown 5.72% 24.85% 100 Weekly Correlation with Benchmarks Last 12 months MSCI World 54.6% 80 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 CS Global Govt Bond Index -30.0% S&P GSCI 6.7%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.5% 1.9% 2.4% 3.1% 1.3% 0.0% -0.4% 0.0% 4.8% 2.4% -1.7% -1.8% 2008 -7.8% 2.9% 0.0% 3.4% 0.5% -2.6% -0.3% -0.5% -7.1% -9.0% -0.2% 2.5% 2009 1.1% -1.1% 3.5% 0.8% 3.6% 0.0% 2.1% 1.6% 1.1% 0.2% -0.7% 1.2% 2010 -1.5% 1.0% 3.6% 1.4% -3.7% -1.9% 3.3% -2.1% 5.4% 2.4% -1.1% 2.5% 2011 0.7% 1.7% 1.2% 2.9% -0.9% -0.4% -1.7% -3.7% -4.4% 5.9% -0.5% 0.0% 2012 2.6% 2.3% -0.1% -1.1% -3.6% 1.3% 0.4% 2.0% 1.3% -2.0% -0.3% 1.4% 2013 -0.9% -1.0% 1.6% 2.4% 0.5% -1.5% 3.6% -1.1% 1.3% 2.2% 0.5% 0.2% 2014 -1.8% 1.5% 0.6% 0.7% 1.8% 0.9% -0.5% 2.3% -0.9% 2.0% 2.1% -0.5% 2015 -1.2% 2.5% 0.2% -0.5% 1.3% -1.3% 4.7% -1.3% -0.8% 3.6% 0.2% 0.1% 2016 -2.4% -0.8% 0.1% -1.9% 1.6% -1.1% 2.4% 0.6% 0.5% Source: Credit Suisse; Bloomberg, Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Long/Short Liquid Index was up 0.46% for the month of September, mainly due to long technology and MSCI EAFE exposure, while short exposure to US large-cap equities took back some gains. At the mid-month rebalance, the short MSCI Emerging Markets and Materials positions were removed, while short S&P 500 and Russell 2000 positions have been added. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].
Systematic Alpha Monthly 45 13 October 2016
Event-Driven Liquid Index Asset Class: Hybrid BBG Ticker: CSLABED
Strategy Overview The Credit Suisse Event-Driven Liquid Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to approximate the aggregate returns of the universe of event-driven hedge fund managers. The algorithm has been determined by an index committee, taking into consideration quantitative research into alternative beta. The index benefits from daily valuations with objective and transparent rules-based construction.
Cumulative Index Performance Performance Summary Live date: December 2009 160 Last Sept 2016 YTD Since Live 12-Mo. Return 0.38% 8.28% 6.77% 5.37% 140 Volatility 7.64% 8.17% Sharpe Ratio 0.83 0.62 120 Drawdown 13.03% 17.51% Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 81.8% 80 CS Global Govt Bond Index -22.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 63.6%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.5% 1.0% 0.6% 1.4% 1.4% -1.3% -3.6% 1.6% 3.2% 2.9% -2.5% 2.8% 2008 -2.3% 1.6% -0.4% 1.9% 1.9% -1.2% -0.3% 0.3% -7.7% -8.5% -1.5% 3.3% 2009 0.9% -0.6% 1.8% 1.4% 0.6% 1.6% 2.2% 0.4% 2.1% -0.9% 1.1% 1.9% 2010 0.9% 0.5% 2.2% 0.9% -3.2% 0.4% 4.2% -1.8% 4.7% 2.2% -1.3% 3.5% 2011 1.2% 2.1% 1.0% 1.4% -0.4% -1.4% -1.1% -4.6% -5.1% 7.8% -1.6% 1.8% 2012 2.1% 2.2% -1.2% 0.7% -3.8% 4.8% 0.9% 1.4% 0.9% 0.9% 0.4% 1.5% 2013 1.6% 0.2% 1.6% 0.9% 0.2% -1.8% 2.6% -1.5% 2.6% 2.4% 0.8% 0.8% 2014 0.2% 2.3% 0.4% -0.2% -0.1% 0.6% -2.2% 1.2% -2.0% 0.3% 0.0% -1.2% 2015 -0.2% 4.2% -1.3% 1.4% 0.2% -2.2% -1.1% -2.9% -3.7% 4.8% -2.9% -3.1% 2016 -2.2% 0.3% 4.3% 1.6% 0.0% 0.4% 2.0% 1.4% 0.4% Source: Credit Suisse; Bloomberg, Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Event Driven Liquid Index was up 0.38% for the month of September, mainly due to long high yield credit exposure. At the mid-month rebalance, the Russell 2000 position was removed and exposure to the Merger Arbitrage strategy and high yield credit increased slightly. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].
Systematic Alpha Monthly 46 13 October 2016
Merger Arbitrage Liquid Index Asset Class: Equities BBG Ticker: CSLABMA
Strategy Overview The Credit Suisse Merger Arbitrage Liquid Index aims to gain broad exposure to the merger arbitrage strategy using a pre-defined quantitative methodology to gain exposure to a liquid, diversified, and broadly representative set of announced merger deals in accordance with index rules. The algorithm has been determined by an index committee, taking into consideration quantitative research into alternative beta. The index benefits from daily valuations with objective and transparent rules-based construction. Cumulative Index Performance Performance Summary Live date: December 2009 130 Last 12- Sept 2016 YTD Since Live Mo. 120 Return 0.34% -1.23% 0.72% 1.51% Volatility 4.18% 4.33% Sharpe Ratio 0.06 0.28 110 Drawdown 4.43% 8.94% Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 34.7% 90 CS Global Govt Bond Index -4.1% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 17.8%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 2.1% 0.8% 1.1% 1.2% 1.3% -0.3% -1.0% 1.3% 1.8% 1.8% -2.0% 0.0% 2008 -1.1% 1.2% 0.0% 1.6% 1.5% -0.8% 0.3% 0.3% -6.7% -5.1% 0.0% 1.3% 2009 -0.8% 0.5% 2.9% 0.0% 0.6% 0.6% 0.7% 0.5% 1.2% -1.1% 2.0% 0.0% 2010 1.2% 0.1% 0.9% 0.4% -0.8% 2.1% 1.9% -0.4% 2.0% 0.6% -2.4% 2.3% 2011 1.7% 0.7% 1.4% 1.2% 0.2% -0.7% -0.8% -0.8% -0.8% 1.5% 0.4% -0.8% 2012 0.5% 0.1% -0.3% -0.3% -1.7% -0.8% 0.5% -0.1% -0.9% -1.4% 0.9% 1.2% 2013 2.3% 0.0% 2.3% -0.5% 1.3% -0.9% 1.2% -0.1% 1.0% -0.4% 0.3% 0.1% 2014 -0.9% 1.3% -0.7% -0.7% -1.6% -0.1% 0.1% -1.6% -1.1% -1.7% 1.2% -0.4% 2015 -0.3% 1.0% -0.9% 1.8% -0.1% -0.2% -0.8% -0.4% -0.1% 1.6% -1.1% 1.4%
2016 0.4% 0.3% 1.5% -1.4% -0.8% -1.0% -0.2% -0.4% 0.3% Source: Credit Suisse, Bloomberg; Data as of 09/30/2016 September 2016 Performance Commentary The Credit Suisse Merger Arbitrage Liquid Index was up 0.34% for the month of September. The top positive deal contributor to the Credit Suisse Merger Arbitrage Liquid Index (the “Index”) in September was the Apex Technology Co Ltd acquisition of Lexmark International Inc, which added 0.18% to Index performance. On 04/19/16, Lexmark International Inc had agreed to be acquired by Apex Technology Co Ltd, PAG, and Legend Capital Management Ltd for USD 40.50 per share. At the time of announcement, this was the third largest acquisition on record of targeting U.S. companies in April, 2016. The Midea Group Co Ltd acquisition of Kuka AG subtracted 0.20% from Index performance. On 05/18/2016, Midea Group Co Ltd announced its intention to takeover Kuka AG for EUR 115.00 per share. At the time of announcement, this is Midea's biggest foreign acquisition on record. Midea Group Co Ltd might purchase an additional stake in Kuka AG over 30% giving the company a value of USD 5,000.00M per WSJ on 05/17/2016. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].
Systematic Alpha Monthly 47 13 October 2016
Managed Futures Liquid Index Asset Class: Hybrid BBG Ticker: CSLABMF
Strategy Overview The Credit Suisse Managed Futures Liquid Index is a long/short momentum strategy that trades futures across asset classes based on short- and long-term moving averages while targeting 10% portfolio volatility. The strategy focuses on four asset classes (equities, fixed income, commodities, and currencies) frequently traded by managed futures funds.
Cumulative Index Performance Performance Summary Live date: January 2011 180 Last Sept 2016 YTD Since Live 12-Mo. 160 Return 0.45% 4.09% 1.85% 3.40% Volatility 9.31% 9.79% 140 Sharpe Ratio 0.15 0.32 Drawdown 7.04% 16.83% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -46.8% 80 CS Global Govt Bond Index 53.8% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -41.1%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.5% -0.7% -0.4% 5.0% 2.4% 2.1% -4.1% -2.9% 5.0% 4.7% -2.0% 0.1% 2008 5.8% 6.9% -1.1% -5.0% 0.2% 2.6% -4.2% 0.7% 3.3% 8.0% 3.5% 1.2% 2009 -0.1% 0.6% -1.1% -1.7% 1.6% -2.6% 1.2% 0.2% 2.1% -1.3% 4.4% -2.1% 2010 -3.9% 0.7% 2.2% 0.3% 1.2% 0.5% -2.4% 2.9% 0.9% 3.5% -4.6% 4.1% 2011 0.2% 1.0% -3.6% 3.0% -3.5% -3.1% 3.1% 0.1% 2.0% -4.2% 0.4% 0.1% 2012 -0.3% 0.9% -1.4% -1.2% 2.5% -5.6% 1.4% -1.5% -1.3% -2.4% -0.7% 1.6% 2013 2.2% 0.1% 1.5% 2.0% -0.4% 0.7% -1.2% -0.8% -0.3% -0.5% 3.1% 1.0% 2014 -3.4% -0.4% -1.2% 0.2% 0.5% 0.0% 0.2% 3.2% 4.3% 1.1% 7.2% 3.5% 2015 8.2% -1.3% 4.3% -4.0% 0.8% -4.5% 2.6% -1.7% 2.3% -3.9% 2.1% -0.7% 2016 3.3% 3.0% -1.5% 0.6% -3.0% 3.9% 0.0% -2.5% 0.5% Source: Credit Suisse; Bloomberg, Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Managed Futures Liquid Index was up 0.45% for the month of September. Currency positions added the most to performance, particularly the long exposure to the Japanese Yen and Australian Dollar vs. the US Dollar. Equities also added to performance overall, helped by long Hang Seng and FTSE 100 positions. Commodities were flat overall, with gains from long metals positions being mostly offset by the losses in the long agriculture position. Fixed Income subtracted from performance, with long exposure to 10yr UK Bonds dragging the asset class performance down the most. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].
Systematic Alpha Monthly 48 13 October 2016
Global Strategies Liquid Index Asset Class: Hybrid BBG Ticker: CSLABGS
Strategy Overview The Credit Suisse Global Strategies Liquid Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to approximate the aggregate returns of those hedge funds which are not classified as Long/Short Equity or Event Driven.
Cumulative Index Performance Performance Summary Live date: January 2011 140 Last Sept 2016 YTD Since Live 12-Mo. Return 0.47% 3.02% 3.49% 1.86% 120 Volatility 3.01% 4.60% Sharpe Ratio 1.01 0.34
Drawdown 3.19% 8.70% 100 Weekly Correlation with Benchmarks Last 12 months MSCI World 67.6% 80 CS Global Govt Bond Index -20.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 25.7%
Source: Credit Suisse; Data as of 09/30/2016 Source: Credit Suisse; Data as of 09/30/2016
Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.9% 0.4% 1.1% 1.9% 0.9% 0.5% -0.5% -1.4% 2.7% 2.4% -1.3% 0.8% 2008 -4.3% 2.6% 0.1% 1.7% 1.9% -1.0% -0.9% -2.8% -8.0% -7.3% -0.7% 2.7% 2009 -1.4% -1.1% 3.2% 1.0% 1.9% 1.8% 2.9% 1.7% 2.3% -0.4% 1.2% 1.3% 2010 -0.8% 0.7% 2.8% 1.1% -5.2% -0.6% 2.1% -1.7% 5.2% 2.8% -0.9% 3.4% 2011 0.6% 1.9% -0.3% 1.9% -1.1% -0.3% -0.6% -2.7% -2.8% 2.2% 0.1% 0.9% 2012 0.6% 1.4% -0.9% -0.4% -1.4% 0.1% 1.0% -0.2% 0.2% -0.9% -0.5% 0.9% 2013 1.4% -0.1% 1.0% 0.9% -0.2% -0.7% 0.8% -0.8% 0.9% 1.2% 0.8% 0.4% 2014 -1.2% 1.2% 0.2% 0.1% 0.6% 0.5% -1.1% 2.0% -0.4% 0.3% 1.8% 0.2% 2015 -0.1% 2.0% 1.0% -1.1% 1.0% -2.2% 1.7% -2.2% -0.5% 1.4% 0.2% -1.1% 2016 -0.7% 0.3% 0.1% -0.1% 0.3% 1.4% 0.9% 0.2% 0.5% Source: Credit Suisse; Bloomberg, Data as of 09/30/2016
September 2016 Performance Commentary The Credit Suisse Global Strategies Liquid Index was up 0.47% for the month of September, mainly due to long currency carry exposure. At the mid-month rebalance, positions remained relatively unchanged For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].
Systematic Alpha Monthly 49
GLOBAL INDEX & ALPHA STRATEGIES Baldwin Smith Group Head +1 212 325 5524 [email protected]
NEW YORK
Antony Arenas Peter Han Haresh Hingorani +1 212 325 1112 +1 212 325 5754 +1 212 325 9019 [email protected] [email protected] [email protected]
Young Kim Sherry Li Shonan Noronha +1 212 538 3766 +1 212 538 2585 +1 212 325 0918 [email protected] [email protected] [email protected]
Samarth Sanghavi Yongchu Song, Ph.D Steven Tang, Ph.D +1 212 538 4341 +1 212 538 7013 +1 212 538 0339 [email protected] [email protected] [email protected]
Olivia Zhong +1 212 538 4328 [email protected]
LONDON
Varin Wimalasena Daniela Toro Ghassane Bentahar +44 20 7883 8369 +44 20 7883 3875 +44 20 7888 3196 [email protected] [email protected] [email protected]
SINGAPORE
Yoon May Choong Dian Hong Chua +65 6212 4346 +65 6306 0182 [email protected] [email protected]
Disclosure Appendix Analyst Certification The analysts identified in this report each certify, with respect to the companies or securities that the individual analyzes, that (1) the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report. Important Disclosures Credit Suisse's policy is only to publish investment research that is impartial, independent, clear, fair and not misleading. For more detail, please refer to Credit Suisse's Policies for Managing Conflicts of Interest in connection with Investment Research: http://www.csfb.com/research-and- analytics/disclaimer/managing_conflicts_disclaimer.html . Credit Suisse's policy is to publish research reports as it deems appropriate, based on developments with the subject issuer, the sector or the market that may have a material impact on the research views or opinions stated herein. The analyst(s) involved in the preparation of this research report received compensation that is based upon various factors, including Credit Suisse's total revenues, a portion of which are generated by Credit Suisse's Investment Banking and Fixed Income Divisions. Credit Suisse may trade as principal in the securities or derivatives of the issuers that are the subject of this report. At any point in time, Credit Suisse is likely to have significant holdings in the securities mentioned in this report. As at the date of this report, Credit Suisse acts as a market maker or liquidity provider in the debt securities of the subject issuer(s) mentioned in this report. For important disclosure information on securities recommended in this report, please visit the website at https://rave.credit- suisse.com/disclosures/view/fixedincome or call +1-212-538-7625. For the history of trade ideas suggested by the Fixed Income Research department over the previous 12 months, please view the document at https://plus.credit-suisse.com/r/aaCzfz . Credit Suisse clients with access to the Locus website may refer to http://www.credit-suisse.com/locus . For the history of trade ideas suggested by Emerging Markets Strategy Research, please see the latest Emerging Markets Fixed Income Views report on Credit Suisse PLUS . For the history of recommendations provided by Technical Analysis, please visit the website at https://plus.credit- suisse.com/ECP_S/app/container.html#loc=/MENU_FI_ECON_TECHNICAL_ANALYSIS . Credit Suisse does not provide any tax advice. Any statement herein regarding any US federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purposes of avoiding any penalties. For a history of recommendations for the financial instrument(s) featured in this report, disseminated within the past 12 months, please refer to https://rave.credit-suisse.com/disclosures/view/reportfi?i=197092&v=-46419h19nua7opli5adcu63qr . This research report is authored by: Credit Suisse Securities (USA) LLC ...... Baldwin Smith ; Yongchu Song ; Sherry Li ; Olivia Zhong ; Steven Tang Structured Securities, Derivatives, Options, and Futures Disclaimer General risks: Structured securities, derivatives, options (OTC and listed), and futures (including, but not limited to, commodity, foreign exchange, and security futures) are complex instruments that are not suitable for every investor, may involve a high degree of risk, may be highly illiquid, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. There is a risk of unlimited, total, or significant loss resulting from the use of these instruments for trading and investment. Before entering into any transaction involving these instruments, you should ensure that you fully understand their potential risks and rewards and independently determine that they are appropriate for you given your objectives, experience, financial and operational resources, and other relevant circumstances. For options, please ensure that you have read the Options Clearing Corporation's disclosure document, available at: http://www.optionsclearing.com/publications/risks/riskchap1.jsp. Risk of losses on options: The maximum potential loss on buying a call or put option is the loss of total premium paid. The maximum potential loss on selling a call option is unlimited. The maximum potential loss on selling a put option is substantial and may exceed the premium received by a significant amount. There are many other options combinations that entail significant risks and transaction costs: you should ensure they are appropriate for your situation and that you understand the risks. 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