To those who remember the risk on/risk off days of 2011 when the entire universe of assets seemingly moved together based on the utterings of some politician here or across the pond, today is quite a different matter. The instances of days in which more than 90% of S&P 500 stocks move together have all but vanished late last year and this year.
The 65-day average correlation of stocks fell to 0.52% in January vs. an average of 0.63% between 2009 and 2013 (it rose as high as 0.84% late in 2011).
Investors have responded by moving money into so-called actively managed strategies, with those funds seeing inflows of $1.3B this year on top of $9.8B in 2013. It's a small amount, but contrasts with $360B pulled out of such funds between 2009-2012.
The Market Neutral Equity Exchange Traded Notes (the "ETNs") are senior, unsecured debt securities issued by Credit Suisse AG ("Credit Suisse"), acting through its Nassau Branch, that are linked to the return of HS Market Neutral Index Powered by HOLTTM (the "Index"). We have listed the ETNs on NYSE Arca under the ticker symbol "CSMN". The Index is designed to provide exposure to a market neutral investment strategy on equities as represented by North American, European, and Japanese stocks included in the Index. The ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the ETNs.
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