BNP PARIBAS
CROSS ASSET TREND INDEX

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BNP PARIBAS CROSS ASSET TREND INDEX

The BNP Paribas Cross Asset Trend Index is a rules-based Index aiming to achieve diversification while gaining exposure to the alpha⁽¹⁾ generated by trend following strategies, commonly used by Commodity Trading Advisor (CTA) Managed Hedge Funds.

The Index aims to address new market conditions, such as low interest rates and restless equity markets by seeking both long and short exposures to a 77 component universe. The universe includes global equities, rates, credit, foreign exchange rates and commodities.

The methodology is based on the principles of trend following, intending to benefit from both up and down price movements, and of risk diversification.

⁽¹⁾ Alpha: excess return of an asset or investment.

Click on the video to learn more about the BNP Paribas Cross Asset Trend Index.

THE BNPP CROSS ASSET TREND INDEX IS

DESIGNED TO FOLLOW A COMPREHENSIVE APPROACH

The Index employs a flexible and systematic allocation tracking the performance of components (exposures allowing synthetic short positions) based on two principles:

Trend following

Used to determine positions and market timing.

Risk diversification

by seeking exposure to 77 components integrating individual outlooks into the Index.

ADJUSTED TO MANAGE LARGE UNIVERSES

The Index aims to limit the effect of correlations, given its large universe across equities, rates, commodities, credit, and foreign exchange rates (forex).

Expected return

The expected return calculation adjusts the return spreads between underlyings by taking into account the different correlation levels, aiming to improve the selection’s balance.

The ‘scaling’ process

Aims to limit the effect of high correlations that consists in simply dividing all correlations by two.

Download Material

Brochure

An 8 page overview of the Index complete with performance information and definitions of key terms. Updated monthly.

FACTSHEET

A more concise overview of the Index, complete with latest performance information. Updated monthly.

About BNP PARIBAS

A factsheet to learn more about the Index’s sponsor, BNP Paribas. Updated quarterly.

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BNP Paribas Cross Asset Trend Index?

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Important Information

The BNP Paribas Cross Asset Trend Index (the “BNPP Cross Asset Trend Index”) is the exclusive property of BNP Paribas or one of its affiliates (BNP Paribas and its affiliates are hereinafter called “BNPP”) and is determined, composed and calculated by BNPP. “BNP”, “BNPP”, “BNP Paribas”, “BNP Paribas Cross Asset Trend Index”, and “BNPP Cross Asset Trend Index” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP.

In calculating the performance of the BNPP Cross Asset Trend Index, BNPP deducts an annual fee of 0.50% per annum, calculated on a daily basis which reduces the performance of the index in the same way as a cost. In addition, the BNPP Cross Asset Trend Index methodology embeds certain costs which cover among other things, rebalancing and replication costs. Such costs (if any) may vary over time with market conditions.

BNPP may license the BNPP Cross Asset Trend Index to one or more companies (each, a “Company”) for use in a product offered or issued by the Company. The products are not, in whole or in part, sponsored, structured, priced, endorsed, offered, sold, issued or promoted by BNPP or any of its affiliates, or any third party licensor of information to BNPP. BNPP reserves the right to amend or adjust the BNPP Cross Asset Trend Index methodology from time to time and accepts no liability for any such amendment or adjustment. BNPP is not under any obligation to continue the calculation, publication or dissemination of the BNPP Cross Asset Trend Index and accepts no liability for any suspension or interruption in the calculation thereof. Neither BNPP nor any of its affiliates accepts any liability in connection with the publication or use of the level of the BNPP Cross Asset Trend Index at any given time.

BNPP may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the BNPP Cross Asset Trend Index. The BNPP Cross Asset Trend Index Products are not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or part thereof) which may comprise the BNPP Cross Asset Trend Index (the “Underlying Index”) that is not affiliated with BNPP (each such sponsor, an “Underlying Index Sponsor”). The Underlying Index Sponsors make no representation whatsoever, whether express or implied, either as to the results to be obtained from the use of the relevant Underlying Index and/or the levels at which the relevant Underlying Index stands at any particular time on any particular date or otherwise. No Underlying Index Sponsor shall be liable (whether in negligence or otherwise) to any person for any error in the relevant Underlying Index and the relevant Underlying Index Sponsor is under no obligation to advise any person of any error therein. None of the Underlying Index Sponsors makes any representation whatsoever, whether express or implied, as to the advisability of purchasing or investing in, or assuming any risk in connection with, the BNPP Cross Asset Trend Index Products. BNPP shall have no liability to any party for any act or failure to act by any Underlying Index Sponsor in connection with the calculation, adjustment or maintenance of the relevant Underlying Index and have no affiliation with or control over any Underlying Index or the relevant Underlying Index Sponsor or the computation, composition or dissemination of any Underlying Index. Although BNPP will obtain information concerning each Underlying Index from publicly available sources that it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by BNPP as to the accuracy, completeness and timeliness of information concerning any Underlying Index.

BNPP may act in a number of different capacities in relation to the BNPP Cross Asset Trend Index and/or products linked to the BNPP Cross Asset Trend Index, which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.

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BNP PARIBAS CROSS ASSET TREND INDEX

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