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, 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.

Related Information

Profile

       

Ticker:

CSEATMA6

 

Index Inception Date:

25 August 2014

 

Returns (as of 21 Nov 2017)

             
  Index Level

1 day

1 mo.

3 mo.

6 mo.

YTD

Since Inception

CSEATMA6 Index

237.2000

0.67%

0.08%

1.22%

1.29%

3.73%

-5.00%

Historical performance data is not indicative of future performance of the Index.

Index Level reflects closing level of the Index on the most recent day on which the Index was calculated.

Download Performance History    

Performance Chart (CSEATMA6):

 

Performance Periods:

Performance of the Index

Asset Class

Asset Class Limit

Reference Asset

Ticker

Asset Limit

COMMODITIES

20%

SPDR GOLD SHARES

GLD UP

20%

CREDIT

40%

ISHARES JP MORGAN USD EMERGING MARKETS BOND ETF

EMB UP

20%

CREDIT

40%

ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF

HYG UP

20%

CREDIT

40%

ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND ETF

LQD UP

20%

EQUITIES

40%

ISHARES MSCI EMERGING MARKETS ETF

EEM UP

20%

EQUITIES

40%

ISHARES MSCI EAFE ETF

EFA UP

20%

EQUITIES

40%

SPDR S&P 500 ETF TRUST

SPY UP

20%

REAL ESTATE

20%

ISHARES US REAL ESTATE ETF

IYR UP

20%

US TREASURIES

40%

ISHARES 1-3 YEAR TREASURY BOND ETF

SHY UP

20%

US TREASURIES

40%

ISHARES TIPS BOND ETF

TIP UP

20%

 

Asset Class

Asset Class Limit

Reference Asset

Ticker

Month-End Weight

  COMMODITIES

20%

SPDR GOLD SHARES

GLD UP

0%

  CREDIT

40%

ISHARES JP MORGAN USD EMERGING MARKETS BOND ETF

EMB UP

0%

  CREDIT

40%

ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF

HYG UP

20%

  CREDIT

40%

ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND ETF

LQD UP

20%

  EQUITIES

40%

ISHARES MSCI EMERGING MARKETS ETF

EEM UP

0%

  EQUITIES

40%

ISHARES MSCI EAFE ETF

EFA UP

20%

  EQUITIES

40%

SPDR S&P 500 ETF TRUST

SPY UP

20%

  REAL ESTATE

20%

ISHARES US REAL ESTATE ETF

IYR UP

0%

  US TREASURIES

40%

ISHARES TIPS BOND ETF

TIP UP

0%

  US TREASURIES

40%

ISHARES 1-3 YEAR TREASURY BOND ETF

SHY UP

20%

 

Leverage

150%