Guidelines relating to the Reference Basket hereinafter the. Arx Value Quant Index ISIN: DE000A2G9942. Bloomberg Code: CIMSARX. ( Index Guidelines )

Transcription

1 Guidelines relaing o he Reference Baske hereinafer he Arx Value Quan Index ISIN: DE000A2G9942 Bloomberg Code: CIMSARX ( Index Guidelines ) Version 1.2 daed Page 1 of 19

2 Imporan Informaion The general principles of he Arx Value Quan Index (he Index ) as of are se ou below. I should be noed ha he general principles of he Index may be updaed or amended from ime o ime.in managing he Index, he Index Adminisraor will employ he mehodology described herein and is applicaion of such mehodology chall 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 Adminisraor, necessiae or make desirable a modificaion of or change o such mehodology and he Index Adminisraor 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 Adminisraor may also make modificaions o he erms of he Index in any manner ha i may deem necessary or desireable, including (bu no limied o) o correc any manifes or proven error o cure, correc or supplemen any 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 he Index Adminisraor. 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 Adminisraor 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 (an "Index Linked Produc") nor does he informaion, recommendaions or opinions expressed herein consiue an offer for sale of an Index Linked Produc. Page 2 of 19

3 Table of Conens Inroducion INDEX Descripion Index Mehodology Calculaion of he Index Conac Daa Page 3 of 19

4 INTRODUCTION This documen conains he underlying principles and regulaions regarding he srucure and he operaions of he Index. The Index is he sole propery of he Index Sponsor. Charered Invesmen as he Index Adminisraor and Index Calculaion Agen srives o he bes of is abiliy o ensure he correcness of is mechanism and calculaion. There is no obligaion for Charered Invesmen irrespecive of possible obligaions o issuers o advise hird paries, including invesors and/or financial inermediaries, of any errors in he Index. This documen is o be used as a guideline wih regard o he composiion, calculaion and managemen of he Index. Any changes made o he Index Guidelines are iniiaed by he Index Adminisraor. The calculaion and publicaion of he Index by Charered Invesmen is no recommendaion for capial invesmen and does no conain any assurance or opinion regarding a possible invesmen in a financial insrumen based on his Index. The Index is designed as an invesable Index and herefore adjused for performance deviaions while replicaing he Index. 1. INDEX DESCRIPTION 1.1 Summary of Index Specificaions Reference Marke Socks from Germany which are par of he following index HDAX. Objecive The objecive of he Index is o reflec he performance an invesor can achieve hrough invesing ino a quaniaive and sysemaic invesmen sraegy ha rades a diversified porfolio of 30 lised socks, focussing on socks wihin he HDAX. Page 4 of 19

5 Adminisraion of Index and regulaory saus The Index is calculaed, mainained, rebalanced and published by he Index Adminisraor and sponsored by he Index Sponsor. The Index is mainained and rebalanced following recommendaions provided by he Index Allocaor. For he ime being he Index is considered a "non-significan benchmark" wihin he meaning of Aricle 3 para 1 (27) Regulaion (EU) 2016/2011 of he European Parliamen and he Council of 8 June 2016 ("Benchmark Regulaion"). The Index is adminisraed in accordance wih he applicable provisions of he Benchmark Regulaion and he applicable delegaed regulaions. The Index Adminisraor may, a is own discreion, choose no o apply some or all nonmandaory, waivable obligaions in accordance wih Aricle 26 of he Benchmark Regulaion. Universe of Index Componens The Universe comprises lised Geman financial insrumens. Such insrumens include socks which are par of he following index: HDAX, and cash holdings. Moreover high-liquid moneymarke funds are par of he Universe of Index Componens. Index Componens and heir selecion The selecion of componens is execued by using an algorihm based on company daa, deails are described in chaper 2.2 Allocaion of Index Componens The allocaion of funds is execued by using he resuls of an algorihm based on company daa. The weighs of he Index Componens are execued by he Index Adminisraor wihin he crieria described herein upon recommendaion of he Index Allocaor pursuan o he erms of an index allocaion agreemen ("Index Allocaion Agreemen"). Mehodology The mehodology of he Index is se ou in Secion 2 (Index Mehodology). Technical Specificaions The reference currency of he Index is EUR, he Index is calculaed on a daily basis. The Index will no use leverage. The Index is a Toal Reurn Index, i.e. dividends or coupon paymens will be reinvesed in he Index. Daa Providers Page 5 of 19

6 Idenificaion of Index Componens and heir weighings are based on recommendaion by he Index Allocaor. The Official Valuaion is based on regulaed marke daa of he underlying financial insrumens. 1.2 Name and ISIN The name of he Index is Arx Value Quan Index. The Index is disribued under ISIN DE000A2G Iniial Index Value The Index will be esablished on 31 December 2017 ("Index Sar Dae") wih an iniial level of 1000,00 index poins ("Iniial Index Value"). 1.4 Disribuion The Index Value is published by Charered Invesmen under a subpage of charered-invesmen.com as of each Index Valuaion Dae, no laer han five Business Days following he respecive Index Valuaion Dae. 1.5 Prices and Calculaion Frequency The Index is calculaed on a daily basis each Business Day unil 11:00 am (Düsseldorf ime) (each an "Index Valuaion Dae"). In case a scheduled Index Valuaion Dae is no Business Day, he Index Valuaion Dae is he nex Business Day. The Index calculaion is based on he Official Valuaion of he respecive Index Componens. The Index Adminisraor will ake appropriae seps o avoid a disrupion o he process of he provision of he Index. However, in he even ha relevan daa canno be obained, he Index Adminisraor will no publish he Index. Deficien calculaions will be correced in he afermah. 1.6 Index Adminisraor and exernal service providers Generally, he Index Adminisraor appoins he Index Calculaion Agen and he Index Allocaor. Adjusmens o he Index Value are deermined by he Index Calculaion Agen under he supervision of he Index Adminisraor. In performing is duies, he Index Adminisraor follows he business principles published on is web page and in accordance wih he applicable provisions of he Benchmark Regulaion and is delegaed regulaions. Page 6 of 19

7 In order o reflec he economics of he reference marke and he objecive of he Index as described above, he Index Allocaor idenifies suiable Index Componens and recommends he allocaion and weighing of he Index Componens wihin he crieria described herein. The Index Adminisraor allocaes Index Componens based on he Index Allocaor's recommendaions. In managing he Index, he Index Adminisraor will employ he mehodology described herein 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 Adminisraor, necessiae or make desirable a modificaion of or change o such mehodology and he Index Adminisraor 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 Adminisraor may also make modificaions o he erms of he Index in any manner ha i may deem necessary or desirable, including (bu no limied o) o correc any manifes or proven error o cure, correc or supplemen any 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. 1.7 Publicaion 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 recorded in accordance wih Aricle 8 of he Benchmark Regulaion when applicable. This means ha all inpu daa and he mehodology will be recorded for a minimum of five years. 1.9 Licensing Licences o use he Index as benchmark for derivaive insrumens are issued o sock exchanges, banks, financial services providers and invesmen houses by he Index Sponsor. Page 7 of 19

8 2. INDEX METHODOLOGY The Index Allocaor recommends o he Index Adminisraor Index Componens from he Universe of Index Componens and he weighings of he Index Componens in order o reflec he reference marke and he objecive of he Index accuraely. As such, he recommendaions of he Index Allocaor are considered inpu daa and he Index Allocaor is considered a conribuor of inpu daa in accordance wih Aricle 11 of he Benchmark Regulaion, when applicable. When execuing he recommendaion, he Index Adminisraor ensures ha he (i) selecion of he Index Componens and (ii) he weighings are in line wih he Index Guidelines. Afer is iniial composiion, he Index Allocaor will review he composiion of he Index on an ongoing basis. Index Componens may be added from he Universe of Index Componens by he Index Adminisraor upon recommendaion of he Index Allocaor o he Index if hey are in line wih hese Index Guidelines or heir weighs may be adjused upon recommendaion of he Index Allocaor. The number of Index Componens can change over ime. The Index Value will be deermined on basis of (i) he Official Valuaion and (ii) he value of he Reference Accoun which reflecs he composiion of he Index as follows: - In case boh, (i) a heoreical calculaion of he Index based on he Official Valuaion combined wih he noional / unis derived from he Index Allocaor and (ii) he value of he Reference Accoun are available and a difference beween he heoreical calculaion and he value of he Reference Accoun exiss, he Index Adminisraor will adjus he Index in order o reflec he acual value of he Reference Accoun. Should eiher he value or he noional / unis of he Index Componens in he Reference Accoun based on he discreion of he Index Adminisraor no reflec he economic realiy, he value of one or all Index Componens may be readjused o he Official Valuaion, or he noional / unis of one or all Index Componens may be readjused o he amouns derived from he Index Allocaor (cf. Secion 3.5). - In case solely he value of he Refence Accoun is available he Index will be deermined on basis of he value of he Reference Accoun only as subsiue of he Official Valuaion. - In case solely he value of he heoreical calculaion based on he Official Valuaion combined wih he noional / unis derived from he Index Allocaor is available, he Index will be deermined on basis of he such calculaion. In his case, he fee componen (F), as oulined in chaper 3.1, may no be applicable. Furher, he nominal invesmen amoun in he Reference Accoun, being he cash componens paid ino he Reference Accoun minus he cash componens released from he Reference Accoun for oher use han acquisiion of insrumens which are Index Componens ("Index Noional"), if any, will be provided by he Index Allocaor. Page 8 of 19

9 Index Philosophy Many empirical sudies have shown ha here are specific characerisics in he marke which allow an ouperformance of he marke. To idenify poenial invesmens a sysemaic screening model is applied. Decisions are 100% sysemaic by a compuer based quaniaive model screening hisorical accouning daa o filer Companies by heir qualiy and curren marke valuaion. The model calculaes signals by a company ranking according o cash flow, qualiy of capial allocaion and marke valuaions. Sysemaic rading lowers dependence on fundamenal marke daa and discreionary decisions o limi subjecive influence for invesmen decisions. 2.1 Universe of Index Componens The insrumens which may be par of he Index are se ou in Annex 2.1 o hese Index Guidelines ("Universe of Index Componens"). 2.2 Index Componens and heir selecion Ou of he Universe of Index Componens individual financial insrumens can only be used as an Index Componen for inclusion in he Index if hey mee he Index Componen Selecion Crieria se ou in Annex 2.2 o hese Index Guidelines 2.3 Allocaion of Index Componens The weighing of eligible Index Componens is execued by he Index Adminisraor upon recommendaion by he Index Allocaor wihin he objecive Allocaion Crieria se ou in Annex 2.3. The allocaion of Index Componens is, wihin he described framework, wihin he discreion of he Index Allocaor as conribuor of inpu daa. 2.4 Changes o Index Componens An Index Componen may be removed from he Index if i does no mee he Index selecion crieria 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 allocaion of removed Index Componens is 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 allocaion of newly added Index Componens is deermined, he respecive allocaion of some or all of he Index Componens exising prior o he addiions may be adjused accordingly. Page 9 of 19

10 3. CALCULATION OF THE INDEX 3.1 Index Formula On each Index Valuaion Dae, he Index Calculaion Agen calculaes he Index Value. This calculaion is based on he Official Valuaion of he Index Componens. The Index Calculaion Agen will use he following formula o calculae he Index Value: Index ( W i ixpi) D A F ( W ) i ixpi A F D 1000 Whereas: Index W i P i A F i D is he Index a ime. is he number of unis respecively noional of an Index Componen (being he acquisiion cos) in he Index a ime. is he Official Valuaion of each Index Componen a ime > 0. 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 is he amoun of he accrued index fees unil of up o 150 basis poins / days per Index monh x 1 is represening an individual Index Componen. Divisor a ime 3.2 Accuracy The value of he Index will be rounded o wo decimal places. 3.3 Adjusmens o he Divisor Indices need o be adjused for he Index Noional hey represen. This requires he Divisor o be calculaed on an ex-ane basis. Page 10 of 19

11 D ( W i ixpi) Index A F Parameers as defined in 3.1 Oher Changes If necessary, he Index Calculaion Agen may a is reasonable discreion amend hese Index Guidelines in order o ensure achievemen of he objecive of he Index as defined in hese Index Guidelines or o address any errors, omission or ambiguiies. Such amendmens may include changes o he index componen selecion crieria or he rules wih respec o he composiion, calculaion and weighing of he Index. 3.4 Adjusmens o sysemaic changes Dividends, ineres and oher disribuions will be allocaed o he Index as cash in he currency of he Reference Accoun held wih a credi insiuion in he European Union or he European Economic Area In case of a corporae acion on an Index Componen, he Index Calculaion Agen will assess wheher such corporae acion has a diluive or any oher effec on he price of he Index Componen. In such a case, he Index Calculaor will make required adjusmens and deermine he dae on which his adjusmen will be effecive. Amongs oher hings he Index Calculaion Agen can consider adjusmens execued by an Affiliaed Exchange as a resul of he corporae acion concerning opion and fuures. Splis require he recalculaion of he W parameer assuming ha he spli raio is applicable o he price change, as follows: Wi, 1 Wi, * S Whereas: W is he number of unis / noional affeced in he Index a ime +1 i, 1 W i S is he number of unis / noional affeced in he Index a ime Unis / noional afer he spli for every uni / noional before spli Share disribuion require he recalculaion of he W parameer assuming ha he disribuion raio is applicable o he price change, as follows: Page 11 of 19

12 Wi, 1 Wi, *(1 S) Whereas: W is he number of unis / noional affeced in he Index a ime +1 i, 1 W i S is he number of unis / noional affeced in he Index a ime Unis / noional for every uni / noional before disribuion An inflow of cash o he Reference Accoun increases he money marke accoun correspondingly. The Cash Componen can increase / decrease based on ineres applicable o he Cash Componen. 3.5 Adjusmens o he Reference Porfolio Adjusmens will be made in erms of he difference beween he heoreical Index Value as calculaed by he Index Adminisraor on basis of he Official Valuaion and he accoun balance of he Reference Accoun. In case no value for he Reference Accoun can be obained, he Index may be readjused o he heoreical Index Value based on he Official Valuaion. 3.6 Rebalancing Adjusmens o he Index according o Secions 2.3 and 2.4 of hese guidelines will be execued by he Index Adminisraor in a imely manner afer receip of he recommendaion from he Index Allocaor. Only in insances where such recommendaion is no in line wih he Index Objecive i will be negleced by he Index Adminisraor. Any such adjusmens will be based on prices of comparable ransacions observed on or around he ime of he execuion of he adjusmen, including ransacion cos, based on he discreion of he Index Adminisraor. 3.7 Daa Provider Idenificaion of Index Componens and heir weighings are based on recommendaion by he Index Allocaor. Official Valuaions are based on he regulaed marke daa of he underlying financial insrumens. 3.8 Index Coninuiy In case of missing, insufficien, inaccurae or unreliable inpu daa or non-compliance wih he sandards as se ou below, for any of he required daa o calculae he Index, he Index Adminisraor may no calculae and publish he Index. The decision will be aken on discreion of he Index Adminisraor. In case he sandards as se ou are no fulfilled for a considerable ime, he Page 12 of 19

13 Index Adminisraor, o proec users of he index, will publish such informaion eiher by amending he guidelines, or on i s websie. Where appropriae, he Index Adminisraor will consul expers o make he decision. The minimum requiremens for he quaniy of inpu daa are: - For Official Valuaions, a pricing value for each underlying of he index - The weighing per Index Componen - A calculaed fee value as par of he Index Calculaion Formula chaper 3.1 mus be presen The minimum sandards for he qualiy of inpu daa are: - Daa mus be reliable and consisen - Daa mus be robus - Daa mus be verifiable - Daa mus be available before a.m. on each Index Valuaion Dae 4. CONTACT DATA Informaion regarding he Index Charered Invesmen Germany GmbH Bilker Allee 176 C Düsseldorf Page 13 of 19

14 Definiions Business Day Days on which Düsseldorf Sock Exchange (Börse Düsseldorf) is open for regular rading (Handelsage) as published and updaed by Düsseldorf Sock Exchange from ime o ime. Daa Provider A conribuor of daa o mainain or calculae he Index in accordance wih Aricle 11 of he Benchmark Regulaion Index Arx Value Quan Index Index Adminisraor Charered Invesmen Germany Index Allocaor Arx Value GmbH, Rembrandsraße 38, Düsseldorf Index Calculaion Agen Charered Invesmen Germany Index Componen A cerain financial insrumen seleced from he Universe of Index Componens, becoming a Consiuen of he Index Index Sponsor Arx Value GmbH, Rembrandsraße 38, Düsseldorf Index-linked Produc Any invesmen produc based upon he Index Index Value Value of he Index on he Index Valuaion Dae Index Valuaion Dae Is defined in secion 1.5 Charered Invesmen Charered Invesmen Germany GmbH, a limied liabiliy company (Gesellschaf mi beschränker Hafung) under German law, regisered wih he commercial regiser (Handelsregiser) of he local cour (Amsgerich) of Düsseldorf under HRB 71114, regulaed by BaFin 32 and principal place of business a Bilker Allee 176c, Düsseldorf, Germany Official Valuaion Regulaed marke daa per underlying sock Reference Accoun Accoun EURDepo08 a Hauck & Aufhäuser, IBAN LU EUR where he Index is replicaed, if available. Page 14 of 19

15 Toal Reurn Index Index calculaed on he basis of reinvesed dividend or coupon paymens Universe of Index Componens Insrumens which may be par of he Index Page 15 of 19

16 Annex 2.1: Universe of Index Componens - The Universe comprises lised Geman financial insrumens. Such insrumens include socks which are par of he following index: HDAX, and cash holdings. Moreover highliquid money-marke funds are par of he Universe of Index Componens. - Cash in EUR held wih credi insiuions in he European Union or he European Economic Area. Cash describes in any case an eligible Index Componen. The Cash Componen can increase or decrease based on ineres applicable o he Cash Componen.

17 Annex 2.2: Index Componen Selecion Crieria Ou of he full Universe of Index Componens individual financial insrumens can only be drawn as an Index Componen for inclusion in he Index if hey mee cerain selecion crieria o deermine wheher a financial insrumen is eligible as Index Componen. These selecion crieria are reviewed by he Index Allocaor o check if he financial insrumen possesses all he necessary aribues o be included in he index: Priced inra-day by an independen hird pary Sufficienly liquid wih accepable rading volume and accepable marke value Accepable level of risk The subsequen allocaion process will only consider such Index Componens. Moreover, o reflec he focus of he objecive of he index as described in chaper 1.1 Summary of Index Specificaions, he algorihmic sysem per defaul only applies he lised Index Componen Selecion Crieria o insrumens which are par of he HDAX.

18 Annex 2.3: Allocaion Crieria; Iniial Index Composiion Allocaion Crieria: The Index Allocaor employs a proprieary quaniaive rule based and sysemaic algorihm in order o deermine he allocaions o he Index Componens and he secors such Index Componens represens or offers exposure o. From he Universe of Index Componens, he algorihm chooses such shares wih a high ranking, which also fulfill he Index Componen Selecion Crieria. The algorihm s objecive is o inves ino 30 shares wih he highes ranking. Based on hese idenified signals, he algorihm allocaes he insrumen o a diversified porfolio. The algorihm uses a opimizaion process ha maximizes 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: Qualiy of Capial Allocaion, Cash Flow and Marke Valuaions of each company Marke access coss: Coss incorporaed ino he opimizaion 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 based on mean reversion price aciviy, liquidiy, applicable echnical daa inpus, risk, volailiy, marke correlaions, marke access coss and oher relevan facors. The free liquidiy can eiher be held in cash, allocaed o money-marke funds or invesed in alignmen wih he Universe of he Index Componens, in order o achieve a greaer degree of diversificaion and risk-reducion. Decisions are based on a number of daily produced risk measures and on a deailed risk repor available once a day. The shares are held in he index unil he selecion model deecs a new ranking. Only hen he shares will be reweighed. The regular screening for signals is done on a yearly basis. All reweighings are also conrolled hrough a quaniaive model. Composiion Resricions

19 To ensure ha he index is sufficienly diversified, i is composed in a way ha he allocaion o all Index Componens represening a single insrumen iniially may no represen more han 3,5% of he Index Noional. A maximum weighing of 20% per single insrumen is applicable beween allocaion periods. The number of Index Componens wihin he index may vary over he ime. Compliance wih he selecion crieria of he Index Componens is reviewed by he Index Allocaor daily based upon he laes available daa. Changes arising from he daily review will be implemened as quickly as pracicably possible. Iniial Index Allocaion Talanx Akiengesellschaf Sofware Akiengesellschaf Allianz SE Münchener Rückversicherungs-Gesellschaf Akiengesellschaf Commerzbank AG Hannover Rück SE Salzgier Akiengesellschaf RWE Akiengesellschaf E.ON SE Ceconomy AG Uniper SE GEA Group Akiengesellschaf Dialog Semiconducor Plc Dürr Akiengesellschaf RTL Group SA Nordex SE KION GROUP AG Hugo Boss AG LANXESS Akiengesellschaf Pfeiffer Vacuum Technology AG CTS Evenim AG & Co. KGaA freene AG Krones AG HOCHTIEF Akiengesellschaf Covesro Akiengesellschaf Coninenal Akiengesellschaf Bilfinger SE Linde Akiengesellschaf Deusche EuroShop AG Deusche Börse Akiengesellschaf