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Credit Suisse launches new investable indices with help of Cass experts

Trend Master Index series is the result of extensive Cass research

Cass academics have helped Credit Suisse launch a series of investable indices designed to provide a cost-effective way to gain exposure to a multi-asset class investment strategy. The Trend Master Index series uses a trend-following strategy to offer equity-like returns with significantly-reduced volatility.

              Watch Professor Andrew Clare talking about the Trend Master Index

The strategy behind the Trend Master Index series uses momentum analysis across five different asset classes spanning 20 markets to determine resource allocation. The index is rebalanced at the end of each month and a proprietary trading system based on moving averages is used to identify which markets are deemed to be "Risk On" or "Risk Off." The returns of the strategy are then represented in the index values.

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

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

"We are very excited and pleased that Credit Suisse has given us the opportunity to put our research into practice", added Professor Steve Thomas, of Cass Business School, one of the academics behind the development of the investment strategy.

Historical performance data for the Trend Master indices dates back to the start of 2010 while Cass Business School has been calculating the returns on its multi-asset class strategy for 15 years, providing a wealth of performance data for investors to analyze.

The Trend Master Indices are available in three formats: Total Return, Volatility Controlled and Excess Return Volatility Controlled.

The research was conducted by Cass academics via Cass Consulting. To learn how Cass Consulting can help your business, contact Dr Christina Makris at Christina.makris.1@city.ac.uk

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