
The construction of the Index originally used 3-month USD LIBOR. In connection with the discontinuation of such rate, Credit Suisse International ratified amendments to the index methodology (the customer notice can be found here). Following January 3, 2022, the Index methodology will use, as a replacement to 3-month USD LIBOR, the sum of (i) the Secured Overnight Financing Rate (SOFR) and (ii) a spread that will progress from 0.10% to 0.26% through June 30, 2023. Following July 3, 2023, the Index methodology will use the sum of (i) SOFR and (ii) a spread of 0.26%.
The Credit Suisse Balanced Trend 5% Index includes global components across asset classes to provide diversification and to help reduce portfolio risk. The Index implements a three-step allocation methodology which combines a short-term trend and a long-term value strategy with a dynamic daily risk control mechanism.
Index At A Glance
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Balanced
An allocation diversified across regions and asset classes -
Trend
Implementing a short-term trend and a long-term value strategy -
5%
Mitigating the impact of market fluctuations by targeting an index volatility (risk) of 5%
Key Characteristics
Bloomberg Ticker | CSTREND5 <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 | November 20, 2017 |
Index Calculation Fees | 0.5% p.a. deducted daily |
Asset Class | Global Multi-Asset components |
Please refer to the Risk Factors for additional information on the Index.