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Rating:130/30 Mania Reaches ETFs Not Rated 0.0 Email Routing List Email & Route  Print Print
Tuesday, July 14, 2009

130/30 Mania Reaches ETFs

Reported by Neil Anderson, Managing Editor

ProFunds Group chairman and CEO Michael Sapir is in New York Tuesday morning, ringing the opening bell at the NYSE to celebrate the launch of a new ETF. Credit Suisse managing director Pankaj Patel, who helped design the index upon which the new ETF is based, joins Sapir in the bell ringing

A ProShares banner hangs outside the New York Stock Exchange building on Tuesday.

130/30 funds have already swept into the mutual fund world, and now the hedge-fund-like strategy has jumped into the niche world of ETFs. Along those lines, Bethesda, Maryland-based ProShares just launched ProShares Credit Suisse 130/30, which it claims as the first 130/30 ETF in the US. The new ETF is first in a new line, Alpha ProShares.

"We believe that this new ETF will be attractive for investors' 130/30 allocations because it combines a rigorous quantitative investment process developed by two renowned experts with the index transparency, low cost and liquidity of an ETF," stated Sapir.

The new fund tracks the Credit Suisse 130/30 Large-Cap Index, which Patel and AlphaSimplex Group's Andrew Lo launched in 2007.

Company Press Release

Bethesda, MD, July 14, 2009—ProShares, creator and market leader in short and leveraged exchange traded funds, announced the introduction of another innovative exchange traded fund, the nation’s first 130/30 ETF. ProShares Credit Suisse 130/30 (Ticker: CSM) will be listed on NYSE Arca today.

The new ETF is the first of a new category of ProShares ETFs: Alpha ProShares. Alpha ProShares are designed to provide advanced investment strategies to investors—in the form of ETFs.

ProShares Credit Suisse 130/30 seeks to track the Credit Suisse 130/30 Large-Cap Index (before fees and expenses). The index was introduced in 2007 by Credit Suisse in collaboration with AlphaSimplex Group.

The index was designed by Dr. Andrew Lo, in collaboration with Mr. Pankaj Patel, CFA. Dr. Lo is Chairman and Chief Scientific Officer of AlphaSimplex Group and Harris & Harris Group Professor at the MIT Sloan School of Management. Mr. Patel is Director of Quantitative Research at Credit Suisse.

Dr. Lo and Mr. Patel described the underlying principles of this quantitative-based index in their award-winning 2008 paper, "130/30: The New Long-Only," in The Journal of Portfolio Management.1

"We believe that this new ETF will be attractive for investors' 130/30 allocations because it combines a rigorous quantitative investment process developed by two renowned experts with the index transparency, low cost and liquidity of an ETF," said Mr. Michael L. Sapir, ProShares Chairman and CEO.

"Working with Pankaj Patel and the team at Credit Suisse, we've developed a 130/30 index which is transparent, investable and passive—the key attributes needed to drive an index-based 130/30 investment strategy," said Professor Lo. Mr. Patel of Credit Suisse added, "The quantitative model behind our 130/30 Large-Cap index is based on extensive, robust research on the real-world factors contributing to stock performance."

About ProShares
ProShares is part of ProFunds Group, the largest manager of short and leveraged funds.2 The group includes 89 ProShares ETFs and 115 ProFunds mutual funds. ProShares, which introduced the first short and leveraged ETFs in 2006, continues to be a leader in launching innovative new products—for two years in a row, ProShares has led the industry in attracting assets to newly launched ETFs3 and now is the fourth largest manager of ETFs in the nation.4 Since 1997, ProFunds mutual funds have provided investors with access to sophisticated investment strategies, with offerings that include funds that seek to magnify or return the inverse of index performance on a daily basis. The group also manages the Canada-based Horizons BetaPro ETFs.

Most ProShares ETFs and many ProFunds employ leveraged investment techniques that magnify gains and losses and result in greater volatility in value. Each Short or Ultra ProShares ETF and leveraged or inverse ProFund seeks a return that is a multiple or inverse multiple (e.g., -200%) of the return of an index or other benchmark (target) for a single day. Due to the compounding of daily returns, ProShares’ and leveraged and inverse ProFunds’ returns over periods other than one day will likely differ in amount and possibly direction from the target return for the same period. Investors should monitor holdings consistent with their strategies, as frequently as daily. For more on correlation, leverage and other risks, please read the ProShares or ProFunds prospectus.

About Credit Suisse
As one of the world's leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 45,000 people. Credit Suisse’s parent company, Credit Suisse Group, is a leading global financial services company headquartered in Zurich. Credit Suisse Group’s registered shares (CSGN) are listed in Switzerland and, in the form of American Depositary Shares (CS), in New York. Further information about Credit Suisse can be found at www.credit-suisse.com.

About AlphaSimplex Group
AlphaSimplex Group offers both alpha-generation and beta-capture strategies, including quantitative global macro, global tactical asset allocation, beta replication and beta hedging strategies. Through its risk analytics division it also offers absolute return risk analytics and custom indexes. AlphaSimplex was founded in 1999 by Dr. Andrew W. Lo, a professor of finance at the MIT Sloan School of Management and a pioneer in the field of beta replication for absolute return strategies. Dr. Lo has published numerous articles in finance and economics journals, and is author of The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street and Hedge Funds: An Analytic Perspective. 

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