The Credit Suisse China 12% 2-Factor Risk Control (ER) Index is an investible long-only index which allocates between an ETF providing exposure to China A Shares and a long only fixed income strategy investing across nine treasury futures globally.

The Index targets a volatility of 12% and aims to benefit from the realised de-correlation between the Equity and the Fixed Income Component to achieve simultaneous exposure to both components subject to risk limits. This enhanced volatility target strategy allows to optimize the overall index exposure by allocating into a defensive asset during periods of equity market stress.

Key Characteristics

Bloomberg Ticker CSEACH2F <Index>
Category Asset Allocation
Return Type Excess Return (it reflects the return of components net of the cost of funding)
Currency USD
Live Date March 04, 2020
Index Calculation Fees 3.00% p.a.
Asset Class Multi-Asset

Please refer to the Risk Factors for additional information on the Index.