Credit Suisse Launches Neutral Global Long/Short ETN

Oct. 3.11 | About: Credit Suisse (CSMN)

Credit Suisse, the Swiss investment bank and provider of a few U.S.-listed exchange traded note, recently launched another hedge fund-like long/short equities fund that will be based on global stocks from developed markets.

Market Neutral Global Equity ETN (NYSEARCA:CSMN) is based on the HS Market Neutral Index, which will include stocks from North American, European and Japanese markets. CSMN has an expense ratio of 1.05%.

“Each quarter, a universe of 750 stocks consisting of the top 275 North American stocks by market capitalization, the top 300 European stocks by market capitalization and liquidity and the top 175 Japanese stocks by market capitalization is identified from the HOLT database,” according to the ETN’s prospectus.

The fund will utilize the HOLT scoring methodology to screen for 75 long positions and 75 short positions to achieve its “neutral” strategy.

Additionally, the constituent holdings are grouped into 10 sectors based on the HOLT stock selection framework. The long index includes 10% of each sector and top 34% of each region are held in a long position. Meanwhile, the lowest ranked stocks in the same sector and region are paired with the long positions through short allocations.

Sector allocations include: Basic Materials 9%, Communications 13%, Consumer Cyclical 17%, Consumer non-cyclical 13%, Diversified 1%, Energy 8%, Financial 17%, Industrial 12%, Technology 3% and Utilities 5%.

Potential investors should be aware that ETNs are unsecured debt obligations, which are subject to the credit risk of the issuer.

Max Chen contributed to this article.

Disclosure: None