The CS Momentum Index ('Momentum Index') offers exposure to a multi-asset universe across the globe to provide diversification and to help adapt to ever-changing market conditions. The Index implements a unique and flexible momentum-driven strategy combined with dynamic risk control adjustments.

A consultation notice on proposed amendments to the methodology of the CS Momentum Indices can be found here.

Index At A Glance

  • Diversification
    The Index's underlying components are diversified across four regions and three asset classes in an effort to generate consistent returns over time.
  • Momentum
    The trend following strategy of the Index is intended to gain exposure to components that exhibit the strongest trends while reducing exposure to components with weaker trends.
  • Risk-Adjusted Weightings
    Index components are weighted inversely to their risk in an attempt to build a risk-balanced allocation.
  • Risk Control
    The Index targets an annualized volatility of 5% or less to help stabilize returns.

Key Characteristics

Bloomberg Ticker CSEAMTM5 <Index>
Category Dynamic Asset Allocation
Return Type Excess Return (it reflects the return of components net of the cost of funding)
Currency USD
Live Date February 12, 2020
Index Fees 0.5% p.a. deducted daily (the Index also contains embedded transaction costs and holding costs)
Asset Class Global Multi-Asset components

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