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.
Documents on amendments to the methodology of the CS Momentum Indices to be implemented on or around 17 June 2024 can be found here.
Index At A Glance
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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.