The charts and tables below show an analysis of the back-tested levels of the BNP Paribas CASA Index II as of .. The BNP Paribas CASA Index II was launched on 21st April 2022. The prior performance shown is simulated.
| Bloomberg ticker | BNPXCASA Index |
|---|---|
| Calculation Agent | BNP Paribas Arbitrage SNC |
| Index Sponsor | BNP Paribas |
| Index Type | Excess Return |
| Currency | USD |
|---|---|
| Weighting | Daily rebalancing |
| Index launch date | 21st April 2022 |
| Index start date | 31st December 2002 |
| YTD | 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | Since Start | |
|---|---|---|---|---|---|---|---|---|---|
| Returns |
| Returns |
|---|
| Volatility |
| Sharpe Ratio |
Source: Bloomberg, BNP Paribas from 31th December 2002 to .
Hypothetical Past Performance
| JAN | FEB | MAR | APRIL | MAY | JUNE | JULY | AUG | SEP | OCT | NOV | DEC | YEARLY | |
| 2003 | -0.81% | 0.59% | -1.50% | 4.06% | 8.57% | -0.36% | -2.50% | 0.84% | 3.72% | 1.90% | 2.65% | 1.22% | 19.45% |
| 2004 | 3.27% | 3.76% | 1.07% | -3.51% | -0.48% | 1.92% | 0.25% | 5.01% | 1.01% | 3.81% | 4.75% | 3.43% | 26.76% |
| 2005 | 2.75% | 1.09% | 3.65% | 3.05% | 3.39% | 6.35% | -1.57% | -1.69% | -0.74% | 1.66% | 4.89% | 4.80% | 30.91% |
| 2006 | 3.87% | 1.60% | -0.16% | 4.02% | -2.42% | 0.95% | -1.27% | 5.50% | 3.71% | 2.73% | 0.80% | 2.94% | 24.32% |
| 2007 | -1.82% | 1.25% | 0.01% | 3.66% | 2.46% | 2.02% | -2.50% | 0.46% | 1.44% | 2.10% | 2.89% | 2.11% | 14.81% |
| 2008 | 1.80% | 2.80% | -1.07% | -0.10% | 1.37% | 0.71% | -0.68% | -2.03% | 2.19% | 4.67% | 7.21% | 4.84% | 18.21% |
| 2009 | -3.51% | 0.38% | 4.83% | 3.91% | 2.05% | 2.55% | 5.87% | 3.14% | 4.84% | 1.01% | 6.34% | 2.01% | 38.49% |
| 2010 | 1.18% | 2.77% | 5.83% | 6.44% | -8.65% | 0.28% | 3.10% | 7.34% | 5.67% | 5.28% | -2.52% | 4.41% | 34.45% |
| 2011 | 1.73% | 3.13% | -1.99% | 7.16% | 1.21% | -0.51% | 3.27% | 5.67% | -5.80% | 2.13% | -2.27% | 3.37% | 17.66% |
| 2012 | 8.89% | 5.37% | 4.99% | 1.14% | -6.47% | 7.13% | 5.46% | 2.93% | 2.48% | -1.46% | 5.45% | 0.30% | 41.52% |
| 2013 | 3.86% | 3.91% | 4.42% | 4.61% | -1.92% | -4.72% | 3.44% | -2.27% | 5.77% | 4.25% | 3.26% | -2.19% | 24.03% |
| 2014 | -3.50% | 5.18% | 1.23% | 0.58% | 5.07% | 2.89% | -1.24% | 4.99% | -0.25% | -0.99% | 3.14% | 2.02% | 20.37% |
| 2015 | 1.10% | 3.28% | 3.05% | -2.14% | 1.23%% | -2.47% | 5.73% | -8.21% | 1.17% | 6.46% | 3.62% | -4.20% | 7.86% |
| 2016 | 0.00% | 5.91% | 3.57% | -0.87% | 2.05% | 7.04% | 4.93% | -1.38% | 0.37% | -0.35% | 1.10% | 1.18% | 25.74% |
| 2017 | 1.66% | 5.15% | -1.51% | 0.53% | 1.50% | -1.09% | 1.35% | 0.71% | 1.07% | 5.11% | 0.54% | 1.58% | 17.67% |
| 2018 | 1.64% | -5.91% | -0.42% | 2.55% | 0.88% | 0.21% | 0.81% | -1.15% | 1.10% | -4.39% | -0.75% | -1.38% | -6.91% |
| 2019 | 4.73% | 1.74% | 3.15% | 2.40% | -2.57% | 7.76% | 2.86% | 1.24% | -0.22% | 2.23% | 2.27% | 1.07% | 29.75% |
| 2020 | 3.33% | -3.00% | 10.88% | 0.58% | 0.13% | 0.54% | 5.90% | 0.02% | 1.87% | -3.23% | 5.60% | 2.67% | 27.38% |
| 2021 | -4.04% | 0.91% | 7.09% | 2.83% | 3.57% | -0.28% | 3.57% | 1.06% | -5.57% | 2.83% | -1.45% | 3.18% | 13.82% |
| 2022 | -8.00% | 1.16% | 6.88% | -4.45% | -1,29% | 0,08% | 0,15% | 1,22% | -2,85% | 4,02% | 4,38% | -1,70% | -1.30% |
| 2023 | 6.55% | -0.08% | 0.81% | 2.55% | 3.94% | 5.44% | -0.90 | -1.27% | -1.87% | -2.78% | 5.97% | -0.08% | 19.21% |
| 2024 | 1.46% | 1.87% | 4.62% |
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The BNP Paribas CASA Index II is an “Excess Return” index, and reflects the performance of the BNP Paribas Index Components, which require little or no cash to obtain the economic exposure and risk that is the objective of the BNP Paribas CASA Index II. The BNP Paribas CASA Index II Level does not reflect interest from cash instruments or other related returns that might be realized when obtaining the performance of an index that would require a cash investment equal to the value of the BNP Paribas CASA Index II.
The BNP Paribas CASA Index II levels are shown net of rebalancing fees and an annual fee; rebalancing fees will vary during different market conditions. If BNP Paribas is able to rebalance the index at a lower fee amount than the level of fees established for the BNP Paribas CASA Index II, this could potentially result in greater profitability for BNP Paribas, as the lower fee will not be reflected in the level of the BNP Paribas CASA Index II. For more information about these fees, please contact: bnpp.casa.index@us.bnpparibas.com.
The BNP Paribas CASA Index II is an “Excess Return” index, and reflects the performance of the BNP Paribas Index Components, which require little or no cash to obtain the economic exposure and risk that is the objective of the BNP Paribas CASA Index II. The BNP Paribas CASA Index II Level does not reflect interest from cash instruments or other related returns that might be realized when obtaining the performance of an index that would require a cash investment equal to the value of the BNP Paribas CASA Index II.
Risk warnings for hypothetical performance data:
- Future Performance of the Index may be worse than hypothetical historical results. All levels are simulated and must be considered hypothetical and illustrative only. The actual performance of the Index may bear little relation to the hypothetical historical results.
- BNP Paribas makes no recommendation as to the suitability of the Index for investment. You should reach a decision after careful consideration with your advisors.
- Future performance of the Index may be worse than past and hypothetical historical results.
- The Methodologies Underlying the Index may not be successful — No assurance can be given that the Index Methodologies will achieve their goals.
- Numerous factors (changes in: interest rates, investor expectations, economic results, regulation, liquidity…) may affect the price of the components of the index or strategy.
- Hypothetical past performance is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance.
- The Index has limited historical information and publicly available information on the Index is limited.
- The presentation of hypothetical historical performance reflects the deduction of fees and charges applicable to the Index
Contact us if you wish to know more about the BNP Paribas Catalyst Systematic Alpha Index II
