Index Performance

FB US Large Cap @80% TR

Foxberry Floored Beta® US Large Cap @80% TR

Index information

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Futures contracts used ES
Currency USD
Bloomberg ticker FXBYFBUS Index

Index protection term structure

Source: Foxberry

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Source: Foxberry

Monthly returns

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Source: Foxberry

Index constituents

Foxberry Floored Beta® Benchmark Statement

Foxberry Floored Beta® Benchmark Compliance Statement

Risk factors

Index objectives: The Index has been constructed based on certain assumptions (including observations, empirical trends and correlations) which may not be realised in the future which may negatively affect the performance of the Index in the future.

Performance risk: As detailed in the Index Rules the Index references certain underlying futures and uses certain risk management techniques. The risk management techniques used by the Index may be a source of negative performance when compared with the performance of the underlying futures which is not subject to such risk management techniques. In particular, the Index may have a reduced exposure to the underlying futures following a decline or heightened volatility of the futures. If this is followed by positive performance in the futures, the Index may underperform the underlying futures. Conversely, if the volatility of futures is low, the Index may take additional exposure to the futures. If this is followed by negative market performance of the futures, the Index may underperform the futures. In addition, the simulated number of call options purchased by the Index will depend on the constraints of the maximum loss protection mechanism built into the Index, leading to a varying exposure to the underlying futures. Accordingly, the performance of the Index can be substantially different to the performance of the underlying futures and the underlying market that the futures reference.

Embedded optionality and negative time decay: The Index simulates the purchase of call options. Call options have a convexity, meaning that the performance of the Index should not be expected to be linear with the Underlying Market or the futures referencing the Underlying Market. In addition, options have a negative time decay, meaning that all else equal, they are expected to lose value over time.

Always refer to the Index Rules and the risk factors therein before making any investments into any product linked to the Index.


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