Article 3(1)(3) of the BMR defines a benchmark, inter alia, as an index that is used to measure the performance of an investment fund with the purpose of tracking the return of such index.

ESMA considers that investment funds using indices to measure their performance with the purpose of tracking the return of such indices include:

1. investment funds the strategy of which is to replicate or track the performances of an index or indices e.g. through synthetic or physical replication; and
2. structured investment funds that provide investors with algorithm-based payoffs that are linked to the performance, or to the realisation of price changes or other conditions, of indices.