The CS Tactical Multi Asset Index ("Index") tracks the performance of a dynamic mix of exchange-traded funds ("ETFs") that provide exposure to four distinct asset classes: equities, fixed income (credit and US treasuries), commodities and real estate.
Allocations to the particular ETFs are periodically adjusted using a predetermined set of rules that seek a mix of ETFs that, using recent historical returns, would have generally resulted in the highest ratio of return to risk subject to the portfolio constraints, where risk is measured by the variability of returns ("volatility") over a recent historical period.
The rules also seek to stabilize the risk of the index by targeting an annualized volatility of 6%, which is done by setting a level of exposure to the ETFs that would have resulted in a historical volatility of 6% over a recent period.
|Bloomberg Ticker||CSEATMA6 <Index>|
|Category||Dynamic Asset Allocation|
|Return Type||Excess Return (it reflects the return of components net of the cost of funding)|
|Live Date||August 25, 2014|
|Asset Class||Global Multi-Asset|
Please refer to the Risk Factors for additional information on the Index.