Guideline relating to Sharpe Plus Index Euro

Transcription

1 Guideline relaing o Sharpe Plus Index Euro Version 1.0 daed April 15,

2 Imporan Informaion The general rules of he Sharpe Plus Index Euro (he Index ) as of April 2016 are se ou in full below. I should be noed ha he general rules of he Index may be updaed or amended from ime o ime. In managing he Index, he Index Sponsor will, subjec as provided below, employ he mehodology described below and is applicaion of such mehodology shall be conclusive and binding. No assurance can be given ha fiscal, marke, regulaory, juridical, financial or oher circumsances will no arise ha would, in he view of he Index Sponsor, necessiae or make desirable a modificaion of or change o such mehodology and he Index Sponsor shall be eniled o make any such modificaion or change any of he provisions of he Index as se ou in he general rules of he Index as i deems fi. The Index Sponsor may also make modificaions o he erms of he Index in any manner ha i may deem necessary or desirable, including (wihou limiaion) o correc any manifes or proven error o cure, correc or supplemen nay ambiguiy or defecive provision conained in his descripion of he Index. Any such modificaion or change will ake effec accordingly and will be deemed o updae hese general rules of he Index from is effecive dae. This documen is communicaed by Index Sponsor. All informaion provided herein is for informaion purposes only and no warrany is made as o is finess for purpose, saisfacory qualiy or oherwise. Every effor has been made o ensure ha all informaion given is accurae, bu no responsibiliy or liabiliy (including in negligence) can be acceped by he Index Sponsor for errors or omissions or for any losses arising from he use of his informaion. The informaion presened herein has been prepared on he basis of he publicly available informaion, inernally developed daa or oher hird pary sources believed o be reliable. All opinions and views consiue judgmens as of he dae of he wriing and are subjec o change a any ime wihou noice. This documen is no an inviaion o make an invesmen in a produc based upon he Index (he Index-linked Produc ) nor does he informaion, recommendaions or opinions expressed herein consiue an offer for sale of an Index-linked Produc. 2

3 Conens Inroducion 1 Index Specificaions 1.1 Name and ISIN 1.2 Iniial Value 1.3 Disribuion 1.4 Prices and Calculaion Frequency 1.5 Weighing 1.6 Decision-making Bodies 1.7 Publicaion 1.8 Hisorical Daa 1.9 Licensing 2 Composiion of he Index 2.1 Selecion of he Index Componens / Index Consrucion 2.2 Classificaion / Index Secors 2.3 Qualificaion 2.4 Allocaion 2.5 Changes o Index Componens 3 Calculaion of he Index 3.1 Index Formula 3.2 Accuracy 3.3 Adjusmens 4 Appendix 4.1 Conac Daa 4.2 Calculaion of he Index Change in Calculaion Mehod This documen conains he underlying principles and regulaions regarding he srucure and he operaing of he Sharpe Plus Index Euro (he Index ). The Sharpe Plus Index Euro is he sole propery of Sensus Vermögen GmbH. Charered Invesmen Germany GmbH as he Index Calculaion Agen srives o he bes of is abiliy o ensure he correcness of he calculaion. There is no obligaion for Charered Invesmen Germany GmbH irrespecive of possible obligaions o issuers o advise hird paries, including invesors and/or financial inermediaries, of any errors in he index. The calculaion and publicaion of he index by Sensus Vermögen GmbH or Charered Invesmen Germany GmbH is no recommendaion for capial invesmen and does no conain any assurance or opinion of eiher regarding a possible invesmen in a financial insrumen based on his index. 3

4 Inroducion This documen is o be used as a guideline wih regard o he composiion, calculaion and managemen of he Sharpe Plus Index Euro. Any changes made o he guideline are iniiaed by he decision-making bodies specified in secion 1.6. The Sharpe Plus Index Euro is he sole propery of Sensus Vermögen GmbH (he Index Sponsor and he Index Managemen Agen ). The Sharpe Plus Index Euro is calculaed by Charered Invesmen Germany GmbH (he Index Calculaion Agen ). The Index is designed as an invesable index and herefore adjused for performance deviaions while replicaing he index. 1 Index Specificaions The Index is a rules-based, echnically driven index engineered for he European marke denominaed in EUR. The index is comprised of lised US and European socks (S&P500, Russell 1000, HDAX), US equiy index-etfs (SPY, QQQ, IWM), US index-fuures (S&P500, Nasdaq, Russel 2000) and opions on he S&P 500 Index. The objecive of he Index is o replicae he risk and reurn characerisics of a quaniaive, echnical and sysemaic invesmen sraegy ha rades a highly diversified porfolio. To achieve is objecive, he Index offers access o 17 differen models ha have a very low or even negaive correlaion o each oher. The models focuses on differen signals. Based on hese idenified Signals, such models allocae o a diversified porfolio. The reference currency of he Index is Euro. The Index is a Toal Reurn Index, i.e. dividend paymens will be reinvesed in he index. 1.1 Name and ISIN The Sharpe Plus Index Euro is disribued under ISIN XC000A2BM0K3. The Index is published in Bloomberg under he code CIMSSESH Index. 1.2 Iniial Value The Index will be calculaed every Business Day saring on 31 s May The index was based on as a he close of rading on his dae. 1.3 Disribuion The Index Value of he Sharpe Plus Index Euro is published by Charered Invesmen Managers PTE LTD. via Bloomberg under he code CIMSSESH Index and on Charered Invesmen s websie under as of each Index Valuaion Dae no laer han hree business days following he respecive Index Valuaion Dae. 1.4 Prices and Calculaion Frequency The Index is calculaed based on he ne asse value of he respecive Index Componens. The Index is calculaed once every Business Day. In he even ha daa canno be provided or ha here are roubles regarding he price markeing of Charered Invesmen Germany GmbH he Index canno be disribued. 4

5 1.5 Weighing The Index Componens are weighed as a fracion of he overall Index Value. The weighing mehodology may be amended by he Decision-making bodies if required due o legal framework. 1.6 Decision-making Bodies The Index Sponsor appoins he Index Calculaion Agen and he Index Managemen Agen. Adjusmens o he Index Value are deermined by he Index Calculaion Agen in is sole discreion. 1.7 Publicaion All specificaions and informaion relevan for calculaing he index will be made available on he web page hp:// and sub-pages. 1.8 Hisorical daa Hisorical daa will be mainained from he launch of he Index on 31 s May Licensing Licences o use he index as he underlying value for derivaive insrumens are issued o sock exchanges, banks, financial services providers and invesmen houses by Sensus Vermögen GmbH. 2 Composiion of he Index 2.1 Selecion of he Index Componens / Index Consrucion The Index Managemen Agen is responsible for mainaining and evolving he rules for he consrucion of he Index and ensures ha a consisen approach is applied when selecing he componens o be included in he Index. To selec he componens for inclusion in he Index, he Index Managemen Agen has designed a proprieary mehodology ha forms he basis of a disciplined, rules-based selecion process which is wofold: Classificaion a universe of possible index componens Qualificaion a selecion of index componens 5

6 Full Universe of Possible Index Componens Lised US and European socks (S&P500, Russell 1000, HDAX), US equiy index-etfs (SPY, QQQ, IWM), US index-fuures (S&P500, Nasdaq, Russel 2000), opions on he S&P 500 Index All componens no falling ino any of below caegories are discarded Classificaion ETFs Socks Fuures Opions All componens no priced Inra day, and only raded hrough one counerpary are discarded All socks wih average daily volume less han 20K discarded All conracs wih average daily volume less han 200 Los discarded Qualificaion Following he selecion of he index consiuens hrough Classificaion and Qualificaion, he Index Managemen Agen applies a proprieary allocaion model, subjec o compliance wih pre-defined composiion resricions o deermine he allocaion o he index componens and he secors. However, here is no assurance ha his allocaion will achieve he Index objecive. The allocaion model benefis from coninuing research and developmen of he Index Managemen Agen o exend he range and versailiy of insrumens and secors accessed by he index. As such, he Index Managemen Agen may over ime increase and change he number and diversiy of insrumens and secors iniially allocaed o by he Index as well as refine and deploy new allocaion models where appropriae. Following is iniial composiion, he Index Managemen Agen will review he composiion of he Index on an ongoing basis. Index Componens may be added o he Index if hey have saisfied he Index qualificaion crieria or may be removed for failing o coninue o saisfy he Index qualificaion crieria. However, a no ime shall a decision by he Index Managemen Agen o add or remove a componen of he Index be aken as a buy or sell recommendaion for ha componen. 2.2 Classificaion / Index Secors The universe of possible componens wihin he Index encompasses socks, fuures and opions. The Index will comprise he following secors: Socks Fuures Opions ETFs US Socks US Index Fuures US Index Opions US Equiy Index European Socks 6

7 2.3 Qualificaion Afer all insrumens are allocaed o heir appropriae secor he following procedure is used o selec he componens o be included in he index. Ou of he full universe of socks, fuures and opions, individual insrumens can only be drawn as a componen for inclusion in he index if hey mee cerain selecion crieria. These selecion crieria are reviewed by he Index Managemen Agen o check if he insrumens possess all he necessary aribues o be included in he index: Priced inra-day by an independen hird pary Tradeable hrough more han one counerpary Sufficienly liquid wih high rading volume and open ineres All Socks wih average daily volume more han 20K All conracs wih average daily volume more han 200 Los Accepable level of risk Any eligible insrumen is deemed o be represenaive for is secor and qualifies for inclusion in he index. By discarding non-eligible insrumens, unrepresenaive insrumens are removed from he secor. The subsequen allocaion process will herefore only consider represenaive insrumens per secor, each of which is represened by a single componen in he index and for he purpose of his documen is referred o as an index componen. 2.4 Allocaion The Index Managemen Agen employs a proprieary quaniaive and sysemaic model in order o deermine he allocaions o he index componens and he secors o be included in he index. Allocaion Philosophy Many empirical sudies have shown ha here are specific characerisics in he marke which allow an ouperformance of he marke. For example he momenum effec or he fundamenal value crieria may lead o saisically valid performance advanages. The cornersone of he allocaion philosophy is ha financial markes experience persisen anomalies or inefficiencies ha ake he form of price rends. The allocaion model uses he mean-reversion-effec as a source of alpha. This marke anomaly has been validaed empirically in nearly all major markes over long periods of ime. Allocaion Model The Allocaion Model is quaniaive echnical and sysemaic, employing heavily researched rading algorihms o exploi various inefficiencies across a diversified porfolio. The allocaion model is primarily direcional, wih sysems sampling housands of prices daily in order o idenify and exploi overbough and oversold siuaions across a broad range of socks and fuures. The allocaion algorihms sysemaically idenify opporuniies across muliple ime frames, from 1-3 days o several weeks which helps o diversify and reduce risk wihin he index. Furher diversificaion is achieved by allocaing a broadly diversified porfolio of individual models wih low or negaive correlaion o one anoher. The allocaion of Long Puopions for ail-risk proecion helps o secure he Index from sysemic marke shocks. Allocaion ake place around-he-clock and real-ime price informaion is used o respond o price moves across he insrumens and secors. The allocaion model adjuss allocaions wihin he index o reflec changes in he volailiy of individual insrumens. The sysem works by scaling posiions sysemaically according o volailiy, wih higher volailiy resuling in smaller posiion sizes and vice versa. Volailiy scaling is an effecive way of conrolling risk across 7

8 he index. Such decisions are based on a number of daily produced risk measures and on a deailed risk repor available once a day. The allocaion model benefis from coninuing research and developmen of he index managemen agen o exend he range and versailiy of he original allocaion echniques. Index Componen Allocaion The allocaion of he index is calculaed by he index managemen agen using a long-erm opimisaion process ha maximises he expeced level of reurn for he given level of risk argeed by he index. Daa uses o calculae allocaions are sourced from a daabase. Facors used o calculae allocaions: Volailiy: Expeced reurns, sharpe raios and volailiy are esimaed using robus saisical echniques. Marke access coss: Coss incorporaed ino he opimisaion process include, bu are no limied o: slippage, commissions, brokerage fees. Marke liquidiy: Allocaions are limied o exchange raded insrumens. Exchange raded insrumens which have inconsisen levels of liquidiy may be precluded from he index. The allocaion model derives he allocaions o each index componen bases on mean reversion price aciviy, liquidiy, applicable echnical daa inpus, risk, volailiy, marke correlaions, marke access coss and oher relevan facors. 2.4 Composiion Resricions To ensure ha he index is sufficienly diversified, i is composed in a way ha he allocaion o one single sock may no represen more han 5% of he index. The number of index componens wihin he index may vary over he ime. In he case of a oal indexallocaion of 100% he number of index componens will no be less han 50. Compliance wih he composiion resricions of he index is reviewed by he index managemen agen daily bases upon he laes available daa. Changes arising from he daily review will be implemened as quickly as pracicably possible. 2.5 Changes o Index Componens The Index Managemen Agen may deermine Index Componens solely from he full universe of possible Index Componens according o he Allocaion Model. The oal number of index componens may vary hrough ime in accordance wih his index descripion. An index componen may be removed from he index if i is in breach of any of he index qualificaion rules or generally ceases o qualify for inclusion in he index. Index componens can also be removed from he index in order o ensure ha, a all imes, he index coninues o mee is index objecive or composiion resricions. Once he allocaions of removed index componens are deermined, he respecive allocaion of some or all of he remaining index componens may be adjused accordingly. If an index componen is removed from he index a replacemen index componen may become eligible for inclusion and may be added o he index. However, i is no necessary for an exising index componen o be removed in order for a newly eligible index componen o be added An index componen may be added o he index if i qualifies for inclusion in he index. Index componens can be added o he index in order o ensure ha, a all imes, he index coninues o mee is index objecive and composiion resricions. Once he allocaions of newly added index componens are deermined, he respecive allocaion of some or all of he index componens exising prior o he addiions may be adjused accordingly. 8

9 3 Calculaion of he Index 3.1 Index Formula Effecive as of each Business Day (each such an Index Valuaion Dae ), he Index Calculaion Agen calculaes he Index s official closing value. This calculaion is based on he ne asse value of he Index Componens, as confirmed by he Index Calculaion Agen by he respecive broker where he index is replicaed (each such valuaion an Official Valuaion ). The firs Index Valuaion dae is 31 s May The Index Calculaion Agen will use he following formula o calculae he Index Value: Index ( W xp ) A F i i i Whereas: Index is he Index a ime. W is he number of unis / weighings of an Index Componen in he Index a ime. i i P is he Official Valuaion of each Index Componen a ime > 0. A F i is he adjusmen facor, which is deermined a he reasonable discreion of he Index Calculaion Agen a he ime wih reference o adjusmens during he lifeime of he Index which may become necessary due o Adjusmens described in 3.3 is he amoun of he accrued index fees unil of up o 180 bp / days per annum x Index 1 as deermined by he Index Sponsor and published accordingly. Since launch of he Index o he dae of publicaion of version 1.0 of he Index Guideline he Index fee is 0. is represening an individual Index Componen. The Index Calculaion Agen may for he sake of accuracy and efficiency rely for he calculaion of he Index Value on accoun saemens delivered o him from he cusodian bank or he broker running he reference Accoun defined under Accuracy The value of he index will be rounded o wo decimal places. 3.3 Adjusmens Adjusmens will be made for any fees, expenses, losses, ineres, gains or axes, which are observed by he Index Calculaion Agen on he Reference Accoun U a Ineracive Brokers (U.K) Ld. replicaing he Index agains he heoreical performance. Adjusmens will be made for any unseled commimens for invesmen or de-invesmens ino he Reference Accoun and may herefore lead o shor-erm variaions in he invesmen-level. Marke Disrupions In he even of a susained marke disrupion ha in he view of he Index Calculaion Agen has a significan impac on he required minimum values underlying he quaniaive crieria (e.g., if here are significan deviaions of he curren hypoheical reurns of he Sharpe Plus Index Euro compared o pas hypoheical 9

10 reurns), he Index Calculaion Agen may a is reasonable discreion updae he Index or he Index formula (as defined in Secion 3.1 above) in order o ake ino accoun he prevailing marke condiions. Oher Changes If necessary, he Index Calculaion Agen may a is reasonable discreion amend hese Index Rules in order o ensure achievemen of he objecive of he Index as defined in Secion 1 of hese Guidelines or o address any errors, omission or ambiguiies. Such amendmens may include changes o he eligibiliy requiremens or he rules wih respec o he composiion, calculaion and weighing of he Index. 4 Appendix 4.1 Conac Daa Informaion regarding he Sharpe Plus Index Euro Sensus Vermögen GmbH Thölauer Sr Markredwiz Tel.: +49 (0) c.luible@sensus-vermoegen.de 4.2 Calculaion of he Index Change in Calculaion Mehod The applicaion by he Index Calculaion Agen of he mehod described in his documen is final and binding. The Index Calculaion Agen shall apply he mehod described above for he composiion and calculaion of he index. However i canno be excluded ha he marke environmen, supervisory, legal, financial or ax reasons may require changes o be made o his mehod. The Index Sponsor may also make changes o he erms and condiions of he index and he mehod applied o calculae he index, which he deems o be necessary and desirable in order o preven obvious or demonsrable error or o remedy, correc or supplemen incorrec erms and condiions. Neiher he Index Sponsor nor he Index Calculaion Agen are obliged o provide informaion on any such modificaions or changes. Despie he modificaions and changes he Index Calculaion Agen will ake he appropriae seps o ensure a calculaion mehod is applied ha is consisen wih he mehod described above. 10