A multi-faceted approach to investing

CIBC Multi Asset Systematic Alpha Index

Bloomberg Ticker: CIBQMASA

The CIBC Multi Asset Systematic Alpha Index is a quantitative index designed to generate returns across asset classes by harvesting a wide array of risk premia.

The CIBC Multi Asset Systematic Alpha Index is composed of five rules-based index components (equity, volatility, fixed-income, commodity, and foreign exchange), and seeks to generate positive risk-adjusted returns with low to moderate correlation within the subindices as well as to market benchmarks.

Key Features

Bloomberg Ticker

CIBQMASA

Asset Class

Cross-Asset

Geographical Focus

Global

Launch Date

March 15, 2024

Type of Return

Excess Return

Index Sponsor

CIBC Capital Markets

Calculation Agent

CIBC Capital Markets

Performance

Historical and current performance

Source: Bloomberg.
The Index has been live since March 15, 2024 (inception date February 2, 2007).

Index performance

Source: Bloomberg.
The Index has been live since March 15, 2024 (inception date February 2, 2007).

Return analysis

Source: Bloomberg.
The Index has been live since March 15, 2024 (inception date February 2, 2007).

Detailed composition

Updated quarterly

Download detailed composition as of March 31, 2025

¹Volatility is calculated as annualized standard deviation of daily returns. Risk/reward ratio is calculated as annualized return divided by annualized volatility.

IMPORTANT NOTICE

The CIBC Multi Asset Systematic Alpha Index (the “Index”) is the exclusive property of Canadian Imperial Bank of Commerce (together with its affiliates, “CIBC” or the “Index Parties”). In its role as the index administrator (“Index Administrator”), CIBC maintains and makes certain calculations related to the Index. The Index Administrator does not offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or trademarks of the Index, or the levels of the Index at any time, or in any other respect. “Canadian Imperial Bank of Commerce”, “CIBC”, and “CIBC Multi Asset Systematic Alpha Index” (collectively, the “CIBC Marks”) are trademarks or service marks of CIBC. CIBC is not acting, nor has it been authorized to act, as an agent of any issuer of any product or transaction using the Index (an “Index Product”), nor has CIBC in any way sponsored, promoted, solicited, negotiated, endorsed, offered, sold, issued, supported, structured or priced any Index Products or provided investment advice or any other advice to any person, purchaser or trader of any Index Products. The Index Parties are not the issuer of any such Index Products. Purchasers of any products neither acquire an interest in the Index nor enter into any relationship of any kind whatsoever with the Index Parties.

In calculating the level of the Index, the Index methodology deducts an annual fee of 0.65% per year, calculated daily. The Index levels are also shown net of rebalancing and replication fees as detailed in the Index methodology. These fees will reduce the level of the Index. Furthermore, while the volatility control applied through the Index may result in less fluctuation in rates of return as compared to indices without volatility controls, it may also reduce the overall rate of return as compared to other indices not subject to volatility controls.

No Index Party has passed on the legality or suitability of, or the accuracy or adequacy of the descriptions and disclosures relating to, any product, including those disclosures with respect to the Index. The Index Parties make no representation whatsoever, whether express or implied, as to the advisability of purchasing, selling or holding any Index Products, or the ability of the Index to meet its stated objectives, including meeting its target volatility. The Index Parties have no obligation to, and will not, take the needs of any person, purchaser or trader into consideration in determining, composing or calculating the Index. Nothing on this Site (this “Site”) constitutes an offer, a solicitation, any advice or a recommendation from any Index Party to purchase or sell the Index, which cannot be invested in directly, or any product linked to the Index. The information on this Site is provided solely for informational purposes to describe certain principles and financial characteristics of the Index. The information herein does not purport to summarize or explain the methodologies governing the Index. The Index rules define the calculation principles of the Index and the consequences of extraordinary events which may affect the Index. The Index Parties reserve the right to amend or adjust the Index methodology from time to time and accept no liability for any such amendment or adjustment. The Index Parties are not under any obligation to continue the calculation, publication or dissemination of the Index and accept no liability for any suspension or interruption in the calculation thereof. The Index Parties do not accept any liability in connection with the publication or use of the level of the Index at any given time.

CIBC may license the Index to one or more unaffiliated third party companies (each, a “Company”) for use in an Index Product offered or issued by such Company. Index Products are not, in whole or in part, sponsored, promoted, solicited, negotiated, endorsed, offered, sold, issued, supported, structured or priced by any Index Party or by any third party licensor of information to CIBC. CIBC may enter into derivative transactions or issue financial instruments linked to the Index. If you are considering investing in a product whose performance is based in whole or in part on the Index, you should refer to the relevant full offering document for important information concerning such investment, including related risk factors. Such risks include, without limitation, risk of loss of some or all of your investment, risk of adverse or unanticipated market developments, risk of counterparty or issuer default and risk of liquidity. In addition, prior to making any investment in a product having the Index as underlying, you should make your own appraisal of the risks from a legal, tax and accounting perspective, without relying exclusively on the information contained herein, by consulting, if you deem it necessary, your own advisors in these matters or any other professional advisors.

The Index Parties, persons connected with the Index Parties, or any of their respective directors, partners, officers, employees or representatives may, from time to time, act as manager, co-manager or underwriter of a public offering or otherwise, as principal or agent, deal in, hold or act as market makers or advisors, brokers or commercial and/or investment bankers in relation to the securities or other constituents of the Index, or have provided advice or services to such securities or other constituents, and have no obligation to take the composition or performance of the Index, or the needs or interests of any investors in Index Products, into consideration in acting in any such capacity.

A product having the Index as an underlying may be subject to restrictions with regard to certain persons or in certain countries under national regulations applicable to such persons or in said countries. It is the responsibility of the investor to ascertain that such investor is authorized to invest in such a product. Upon issuance, Index Products may not have an established trading or secondary market. CIBC cannot assure investors that a trading or secondary market will develop for any Index Product or, if one develops for any Index Product, that it will be maintained. CIBC is under no obligation to develop or maintain any secondary or trading market for any Index Product.

No Index Party guarantees, nor makes and representation or warranty as to, the accuracy, timeliness and/or the completeness of the composition, calculation, dissemination and adjustment of the Index, nor of the data included therein. This Site describes certain principles and financial characteristics of the Index and should in no way be read as investment, financial, business, legal, regulatory, tax, accounting or other advice or a recommendation to enter into any transaction.

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CIBC is under no obligation to update, modify or amend this Site or to otherwise notify you that any matter contained herein has changed or subsequently become inaccurate. The figures relating to past performances and simulated performances refer to past periods and are not an indicator of future results. The level of the Index may fluctuate significantly due to the volatility of the market parameters and the value of the reference underlyings.

Statements contained in this Site (including those relating to current and future market conditions and trends with respect thereof) that are not historical facts are based on current expectations, estimates, projections, opinions and/or beliefs of CIBC. Such statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Certain information contained herein constitutes "forward-looking statements," or statements of opinion or intention which can be identified by the use of terms such as "may”, “will", "should", "seek", "expect", "anticipate", "forecast", "project", "estimate", "intend", "continue," "target', "plan" or "believe" (or the negatives thereof) or other variations thereon or comparable terminology. Due to changing circumstances or various risks and uncertainties, actual events or results, market conditions or actual performance of any actual investment may differ materially from those reflected or contemplated in such forward-looking statements. As a result, investors should not rely on such forward-looking statements in making their investment decisions. No representation or warranty is made as to future performance or such forward-looking statements. NO INDEX PARTY NOR ANY OF THEIR AFFILIATES, OFFICERS OR EMPLOYEES MAKES ANY REPRESENTATION OR WARRANTY CONCERNING THE ACCURACY, COMPLETENESS OR FAIRNESS OF ANY STATEMENT OR INFORMATION CONTAINED HEREIN. NO INDEX PARTY NOR ANY OF THEIR AFFILIATES, OFFICERS OR EMPLOYEES ACCEPT ANY LIABILITY WHATSOEVER FOR ANY DAMAGES OR LOSSES ARISING FROM THE RECEIPT OR USE OF THIS DOCUMENT AND INFORMATION.

REGARDING HYPOTHETICAL SIMULATIONS

The Index was launched on March 15, 2024 (the “Launch Date”) and therefor has limited historical performance.

Prospective investors should be aware that any hypothetical performance data (prior to the Launch Date) presented is derived from the economic environment and the simulated historical data that prevailed in the period following the date of the relevant simulation. Accordingly, although the graphs and simulated results herein may be useful in order to gain some historical perspective, past performances of the Index and the hypothetical historical performance data presented should not be taken as indicative of future performance of the Index. It is impossible to predict whether the value of the Index will rise, fall or remain flat. The hypothetical historical performance data has not been verified by any independent third party. Hypothetical historical results have inherent limitations. These hypothetical back-tested results are determined by means of a retroactive application of a back-testing model designed with the benefit of hindsight. Alternative modeling techniques or assumptions might produce significantly different results and prove to be more appropriate or accurate. Hypothetical back-tested results are neither an indicator nor guarantee of future returns or future performance. Actual results will vary, perhaps materially, from the hypothetical analysis.

The hypothetical examples, scenarios or figures herein are provided for illustrative purposes. They allow an understanding of the Index’s mechanism and how the Index would have performed during different market stages over previous years, excluding taxes and expenses. They are NOT an estimate or forecast of the future performance of the Index and have no contractual value. There is no assurance that a transaction will be entered into on any indicative terms. The hypothetical simulations of the Index described in this Site take into account certain maintenance costs that are built into the Index. Actual results including maintenance fees and the precise methodologies will vary, perhaps significantly, from the hypothetical historical data set forth herein.

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