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 RavenPack Artificial Intelligence Index is a rules-based multi-asset index that offers exposure to sectors of the U.S. economy with stronger sentiment based on a news analytics algorithm powered by RavenPack.
The Index implements a strategy that combines U.S. equities and fixed income, complemented by a daily risk control mechanism, and seeks to adapt to various market conditions.
Consultation and completion notices on proposed amendments to the methodology of the Credit Suisse RavenPack Artificial Intelligence Index can be found here.
Index At A Glance
-
News Sentiment:
An equity component based on sentiment scoring extracted from news data by the RavenPack News Analytics algorithm seeking to anticipate relative price movements and make informed sector selections -
Balanced:
A multi-asset allocation diversified across equities and fixed income intended to benefit from opportunities in multiple market environments -
Risk Controlled:
An annualized volatility target of 5% intended to stabilize the overall level of risk of the Index
Key Characteristics
| Bloomberg Ticker | CSRPAI5E <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 | October 06, 2017 |
| Index Calculation Fees | 0.5% p.a. deducted daily |
| Asset Class | U.S. Multi-Asset |
As used herein, the title "artificial intelligence" or "AI" does not imply any form of actual intelligence, learning or comprehension. The Credit Suisse RavenPack Artificial Intelligence Index relies upon an algorithm that is called "artificial intelligence" only in the limited sense that it applies static algorithmic rules to language to produce a mathematical result that might indicate relevance, novelty or a given sentiment about a company.
Please refer to the Risk Factors for additional information on the Index.