Credit Suisse Managed Futures Strategy Fund
Data updated: 2025-01-14
C000120617 — Credit Suisse Managed Futures Strategy Fund. Commodity · $201.63M AUM · 2.33% expense ratio. Holdings, fees, performance and SEC filings.
C000120617 Fund Overview
Credit Suisse Managed Futures Strategy Fund is a US mutual fund managed by Credit Suisse Opportunity Funds, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Credit Suisse Opportunity Funds
- Category: Commodity
- Assets under management: $201.63M
- 1-year return: -9.8%
- SEC CIK: 0000946110
- SEC series ID: S000038355
- Share class ID: C000120617
C000120617 Investment Objective and Strategy
Credit Suisse Managed Futures Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Credit Suisse Opportunity Funds.
Investment objective
The fund seeks to achieve investment results that correspond generally to the risk and return patterns of managed futures funds.
Principal investment strategy
"In seeking to achieve its investment objective, the fund generally seeks to obtain exposure to both up and down price trends in four broad asset classes equities, fixed income, commodities and currencies. The fund may take long and/or short positions in these asset classes, and dynamically adjusts its exposure to individual asset classes based on a trend-following approach. The fund may also aim to obtain exposure to other strategies commonly used by managed futures funds. As a component of its overall investment process, Credit Suisse may utilize certain quantitative models and methodologies to guide its investment approach or security selection although the use of such models and methodologies may vary based on market factors and economic trends as determined by Credit Suisse. The fund seeks to achieve its investment objective by investing directly and/or indirectly through the Subsidiary (as described below) in securities and derivative instruments including, but not limited to, equity index futures and options, swaps on equity index futures, equity swaps, interest rate futures and options, fixed income futures and options, swaps on fixed income futures, commodity and commodity index-linked futures and options, swaps on commodity and commodity index-linked futures, currency futures and options, swaps on currency futures, currency forwards and equity-, fixed income-, commodity- and currency-linked structured notes and exchange-traded notes (""ETNs"").
There are no geographic limits on the fund's holdings and 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 assets in investment grade money market instruments, which may include, but are not limited to, U.S. government securities, U.S. government agency securities, short-term fixed income securities, repurchase agreements, money market mutual fund shares, and cash and cash equivalents. The fund's money market instrument holdings may serve as collateral for the fund's derivative positions and may also earn income for the fund. The fund's return is expected to be derived principally from changes in the value of securities and its portfolio is expected to consist principally of securities.
The fund's use of futures, forwards, swaps and certain other financial instruments will have the economic effect of financial leverage. Financial leverage magnifies the exposure to the swings in prices of an asset class underlying a financial instrument and results in increased volatility, which means that the fund will have the potential for greater gains, as well as the potential for greater losses, than if the fund does not use financial instruments that have a leveraging effect. Leveraging tends to magnify, sometimes significantly, the effect of any increase or decrease in the fund's exposure to an asset class and may cause the fund's net asset value (""NAV"") to be volatile. A decline in the fund's assets due to losses magnified by the financial instruments providing leveraged exposure may require the fund to liquidate portfolio positions to satisfy its obligations, to meet redemption requests or to meet asset segregation requirements under the Investment Company Act of 1940, as amended (the ""1940 Act""), when it may not be advantageous to do so.
The fund will enter into short positions, and may use futures and swaps or may sell a security short to do so. For example, the fund may enter into a futures contract pursuant to which it agrees to sell an asset (that it does not currently own) at a specified price at a specified point in the future. This gives the fund a short position with respect to the asset. At times, the fund may have significant short positions. The fund intends to make investments through the Credit Suisse Cayman Managed Futures Strategy Fund, Ltd. (the ""Subsidiary""), 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. The fund will invest in the Subsidiary primarily to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to registered investment companies.
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. The primary purpose of the money market instruments held by the Subsidiary will be to serve as collateral for the Subsidiary's derivative positions; however, these instruments may also earn income for the Subsidiary. The fund is actively managed by Credit Suisse based on Credit Suisse's view of the prevailing trends in the market. The percentage of the fund's portfolio exposed to each asset class and to any particular strategy will vary from time to time.
For defensive purposes, due to abnormal market conditions or economic situations as determined by Credit Suisse, the fund's investment manager, the fund may invest up to 100% of its assets in cash or certain short-term securities. Although intended to avoid losses in adverse market, economic, political or other conditions, defensive tactics might be inconsistent with the fund's principal investment strategies and might prevent the fund from achieving its goal. 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."
C000120617 Holdings
Top 10 holdings of Credit Suisse Managed Futures Strategy Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| State Street Global Advisors | 15.33% |
| United States Treasury | 8.90% |
| United States Treasury | 8.81% |
| United States Treasury | 8.72% |
| United States Treasury | 8.64% |
| United States Treasury | 4.92% |
| United States Treasury | 4.91% |
| United States Treasury | 4.88% |
| United States Treasury | 4.86% |
| United States Treasury | 4.83% |
C000120617 Portfolio Allocation
Asset-class allocation of Credit Suisse Managed Futures Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Cash & Equivalents | 89.2% |
| Real Estate | 0.4% |
C000120617 Performance
Total returns for C000120617 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | -9.8% |
| 3 years (annualised) | -0.5% |
| 5 years (annualised) | 1.8% |
C000120617 Risk Information
Risk metrics for C000120617, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 8.4%
C000120617 Costs and Fees
C000120617 costs about $233 per $10,000 invested per year in fund expenses.
- Net expense ratio: 2.33%
- Gross expense ratio: 2.35%
- Portfolio turnover: 0%
- Brokerage commissions: 12.73 bps of average net assets (SEC N-CEN)
C000120617 Cashflows
Over the 12 months to 2024-10, Credit Suisse Managed Futures Strategy Fund had net outflows of $33.21M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2024-10 | −$672.03K |
| 2024-09 | $1.69M |
| 2024-08 | $12.35M |
| 2024-07 | $9.34K |
| 2024-06 | −$635.71K |
| 2024-05 | $162.76K |
C000120617 Debt Constituents
No individual debt constituents are reported in Credit Suisse Managed Futures Strategy Fund's latest SEC N-PORT filing.
C000120617 Prospectus and SEC Filings
Official Credit Suisse Managed Futures Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2024-02-28
- Prospectus (485BPOS) — filed 2023-02-28
- Prospectus (485BPOS) — filed 2022-02-25
- Portfolio holdings (N-PORT) — filed 2024-12-26
- Portfolio holdings (N-PORT) — filed 2024-09-27
- Portfolio holdings (N-PORT) — filed 2024-06-28
- Annual census (N-CEN) — filed 2025-01-14
- Annual census (N-CEN) — filed 2024-01-12
Related Funds
Other Commodity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.