FAQ

How are performance scenarios calculated?

Q: How are performance scenarios calculated?

Stress: formula-based, using stressed volatility.Unfavorable/Moderate/Favorable: sliding window method across historical data (can be a blend of actual PRIIP price data, reference share class and proxy/benchmark)Unfavorable: article 7B shrinking window ensures conservative worst-case outcomes.For category III instruments, the scenarios are determined via a Monte Carlo simulation.

Stress: formula-based, using stressed volatility.
Unfavorable/Moderate/Favorable: sliding window method across historical data (can be a blend of actual PRIIP price data, reference share class and proxy/benchmark)
Unfavorable: article 7B shrinking window ensures conservative worst-case outcomes.For category III instruments, the scenarios are determined via a Monte Carlo simulation.

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