Center for International Securities and Derivatives Markets

 

The CISDM Fund of Fund index and the eight individual CISDM Hedge Fund Strategy Indices reflect the median performance of funds within self-reported fund of fund and hedge fund strategy classifications reporting to the Morningstar CISDM Hedge Fund Database. In addition, the CISDM Equal Weighted Hedge Fund Index and CISDM CTA Equal Weighted Index reflect average performance of all hedge funds and CTAs reporting to the database, respectively.

 

The calculations of the CISDM Equal Weighted Hedge Fund Index and CISDM CTA Equal Weighted Index average index performance does not include outliers which are at least +/-3 standard deviation away from the average. In the calculations of the eight individual CISDM Hedge Fund Strategy Indices, the CISDM Funds of Funds Diversified Index and the CISDM Equal Weighted CTA Index, duplicate funds (e.g., fund that differ only in currency) have been eliminated.
 

Here are the 11 CISDM indices - click on the title of each one to see the individual indices report:

 

CISDM Equal Weighted Hedge Fund Index

Demonstrates the average return of all hedge funds, except funds of funds and CTAs.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.


CISDM Convertible Arbitrage Index

Demonstrates the median return of hedge funds with convertible arbitrage strategies.  The typical convertible arbitrage strategy involves a realization of spreads between convertible fixed income instruments and non-convertible instruments such as stocks.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.


CISDM Distressed Securities Index

Demonstrates the median return of hedge funds with distressed securities strategies.  Such hedge funds typically invest in the securities of companies in financial distress or already in default, which trade at significant discounts to their par value.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.

 

CISDM Equity Long/Short Index

Demonstrates the median return of hedge funds with long and/or short directional strategies in equities.  Such hedge funds typically take long or short positions in equities and may simultaneously use hedging strategies with futures and options.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.


CISDM Equity Market Neutral Index

Demonstrates the median return of hedge funds with market neutral portfolios.  A typical market-neutral strategy involves exploitation of market inefficiencies while maintaining a net equity market exposure no greater than 10% long or short.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.


CISDM Event Driven Index

Demonstrates the median return of hedge funds with event driven strategies.  Such hedge funds typically invest in corporations which involve a "special situations" transaction such as a merger, restructuring, liquidation, bankruptcy tender offer, share buybacks or other capital structure adjustments.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.


CISDM Fixed Income Arbitrage Index

Demonstrates the median return of hedge funds with low volatility fixed income arbitrage strategies.  A typical fixed income arbitrage strategy involves exploitation of pricing anomalies between multiple fixed income instruments such as interest rate swaps, U.S. and non-U.S. government bonds.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.


CISDM Global Macro Index

Demonstrates the median return of hedge funds utilizing global macro strategies.  Global macro hedge funds typically invest in stocks, bonds, currencies and commodities in global capital and derivatives markets and carry directional long and short positions.  Only hedge funds that have reported net returns for the particular month are included in the index calculation.


CISDM Merger Arbitrage Index

Demonstrates the median return of hedge funds  with merger arbitrage strategies.   A typical merger arbitrage strategy involves exploitation of pricing inefficiencies between different parties in a merger or an acquisition transaction.  Only funds that have reported net returns for the particular month are included in the index calculation.

 

CISDM Fund of Funds Diversified Index

Demonstrates the median return of funds of funds that invest in multiple managers with a variety of fund strategies.  Only funds that have reported net returns for the particular month are included in the index calculation.


CISDM CTA Equal Weighted Index

Demonstrates the average return of commodity trading advisors in the Morningstar CISDM database.  Only CTAs that have reported net returns for the particular month are included in the index calculation.

 

Click here for the Historical Index of all 11 Indices.