The fund seeks investment results that correspond to the risk and return patterns of managed futures funds before fees and expenses by investing in companies in the United States.
The investment process starts with a list of companies in the benchmark index and the research team utilizes quantitative techniques and fundamental analysis to identify investment opportunities.
Next, the research team seeks diverse exposure to significant price trends, both up and down, across asset classes, geographies and time horizons.
The team looks to take long and/or short positions in these asset classes.
Then the manager constructs a portfolio of stocks from a list of companies favored by the research team and allocates capital based on its conviction level.
The fund will have exposure to U.S. and non-U.S. securities and currencies.
In addition, the fund may have exposure to issuers of any size or credit quality.
The fund also invests a significant portion of its net assets in investment grade money market instruments.
Also, the fund intends to make investments through the Credit Suisse Cayman Managed Futures Strategy Fund, Ltd., a wholly-owned subsidiary of the fund organized under the laws of the Cayman Islands, and may invest up to 25% of its total assets in the Subsidiary.
Generally, the Subsidiary will invest in (long and short) commodity-linked futures and swaps, but it may also invest in other types of futures, swaps and options, as well as certain money market instruments, including U.S. government securities, money market fund shares, repurchase agreements and other high-quality, short-term fixed income instruments.
For defensive purposes, due to abnormal market conditions or economic situations, the fund may invest up to 100% of its assets in cash or certain short-term securities.
The fund is non-diversified, meaning that a relatively high percentage of its assets may be invested in a limited number of issuers of securities.
