Universe of Index Components
Exchange traded funds
Index Components and their selection
Each instrument selected from the Index Universe must fulfil the following criteria to be eligible for inclusion in the Index ("Index Component Selection Criteria"). The relevant investment instrument must:
(i) Have a price that is set regularly and publicly accessible;
(ii) be denominated in CHF, USD, EUR or GBP;
(iii) relate to a fund with assets under management at the time of inclusion in the Index in excess of 10 million USD or the equivalent in its relevant currency in which it is denominated; and
(iv) be similar in the investment theme of the relevant category from the Reference Market (e.g. MSCI Global Climate Change cannot be replaced by MSCI Germany).
The Index Component Selection Criteria are required to be fulfilled at the time of inclusion of the relevant instrument as Index Component in the Index. However, fulfilment of the Index Component Selection Criteria will not be monitored on an ongoing basis following such inclusion.
Index Components are not planned to change on a continuous basis. Applicable Index Component changes are described in section 3.5 Extraordinary Changes to Index Components and in section 4.5 Adjustments Following Distributions and Corporate Actions.
Allocation of Index Components
The Index represents a multi asset strategy replicating investments in different ESG-related topics, government bonds and cash (as included in the table below each a "Category"). Each is represented by a fund as outlined in the table below as of the Index Start Date.
Category - Fund ISIN
Clean Energy - IE00B1XNHC34
Climate Change - LU1602144229
Social Responsibility - LU0629459743
Water - IE00B1TXK627
Corporate Bonds - IE00BYZTVT56
Emerging Markets - IE00BHZPJ239
Cash - LU1190417599
The Index Components' individual weightings ("Index Exposure") may be rebalanced on a monthly basis using the trailing 12-month gross total return for each Category (momentum filter).
Volatility targeting is achieved as follows:
- if the observed 60-Days Volatility for the respective Category decreases, the exposure to such Category is dynamically reduced by a corresponding increase in exposure in the Cash Category; and
- if the observed 60-Days Volatility for the respective Category increases, the exposure to such Category is dynamically increased by a corresponding decrease in exposure in the Cash Category.
Rebalancing Determination Date: 25th Day of every month.
Each Bucket has annual Rebalancing Dates on which the Bucket reallocates 100.0% to the asset class with best trailing 12-month gross total return performance. The difference between each of the twelve Buckets is that Rebalancing Determination Dates and Rebalancing Dates are offset by one month.
In case a Period Start Date / Period End Date is not a Business Day, the previous Business Day will be considered.
Volatility targeting is done daily, unless such day is a Monthly Rebalancing Date, for each Bucket and in a similar fashion as described in the sub-section Monthly Rebalancing above. However, to minimize the amount of changes applied within the course of an allocation, a weight tolerance of 10.00 percentage points is applied.