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%.
Please refer to the Risk Factors for additional information on the Index.
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.
Consultation and completion notices on proposed amendments to the methodology of the Credit Suisse Balanced Trend 5% Index can be found here
Index At A Glance
An allocation diversified across regions and asset classes
Implementing a short-term trend and a long-term value strategy
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