BNP PARIBAS GLOBAL H-FACTOR INDEX
The charts and tables below show the levels of the BNP Paribas Global H-Factor Index.
The performance shown is hypothetically simulated until 08 April 2022
For more information, please consult our INDX related page
Index overview & statistics – Hypothetical & historical exposure as of st
| Bloomberg ticker | BNPIHFAC Index |
| Calculation Agent | BNP Paribas Arbitrage SNC |
| Index Sponsor | BNP Paribas |
| Index Type | Excess return |
| Weighting | Daily rebalancing |
| Annual Fee | 0.50%, charged on daily basis |
| Index Launch Date | 08 April 2022 |
| Index Start Date | 01 June 2006 |
| Global | 10Y | 5Y | 3Y | 1Y | YTD | |
| Annualized Return | ||||||
| Annualized Volatility | ||||||
| Annualized Return/ Annualized Volatility |
Index performance – Hypothetical & Historical as of st
Source: Bloomberg, BNP Paribas from 01st June 2006 to .. All numbers and figures are annualized.
Hypothetical Past Performance
Index returns as of st
| JAN | FEB | MAR | APRIL | MAY | JUNE | JULY | AUG | SEP | OCT | NOV | DEC | Annual Returns | |
| 2006 | -0.34% | -0.10% | 0.80% | 1.13% | 1.48% | 1.68% | -0.17% | 4.53% | |||||
| 2007 | 0.82% | 0.18% | 0.23% | 1.32% | 0.35% | -1.85% | -1.81% | -0.09% | 0.62% | 0.99% | -0.08% | -0.08% | 0.55% |
| 2008 | -0.88% | 1.01% | 0.39% | -0.86% | -0.83% | -1.65% | -0.52% | 1.49% | -3.90% | -2.81% | 2.72% | 1.57% | -4.37% |
| 2009 | -1.51% | -1.01% | 2.63% | -0.25% | -0.46% | -0.15% | 1.31% | 1.43% | 1.81% | -0.45% | 1.94% | -1.66% | 3.58% |
| 2010 | 0.59% | 1.15% | 1.19% | 1.42% | 0.19% | 0.93% | 2.36% | 1.01% | 2.85% | 1.40% | -0.52% | 0.03% | 13.29% |
| 2011 | 0.43% | 0.46% | 0.04% | 1.68% | 0.86% | -0.84% | 0.25% | -1.93% | -0.43% | 0.85% | 0.19% | 1.15% | 2.68% |
| 2012 | 3.01% | 0.42% | -0.43% | 1.71% | -1.54% | 1.49% | 1.03% | 0.57% | 1.25% | 0.21% | 1.79% | 1.11% | 11.06% |
| 2013 | 2.15% | 1.88% | 2.75% | 3.12% | -1.13% | -1.12% | 1.52% | -1.05% | 2.82% | 1.07% | 1.54% | 1.28% | 15.73% |
| 2014 | -0.39% | 1.59% | -1.23% | 0.46% | 1.75% | 0.44% | -1.33% | -2.99% | -2.03% | 0.82% | 1.54% | 0.34% | 4.94% |
| 2015 | 2.55% | 2.10% | 1.24% | -1.03% | 0.90% | -1.34% | 2.41% | -3.68% | 0.33% | 0.80% | 0.13% | -0.33% | 3.98% |
| 2016 | -0.61% | 0.27% | 1.61% | -0.42% | 1.22% | -0.04% | 1.07% | -1.12% | 0.15% | -1.02% | -0.70% | 1.45% | 1.81% |
| 2017 | 1.00% | 2.87% | 0.45% | 1.55% | 2.14% | -0.24% | 1.05% | 0.83% | 0.84% | 2.21% | 1.61% | 1.16% | 16.55% |
| 2018 | 4.41% | -2.89% | -0.65% | 0.44% | 0.88% | -0.49% | 1.64% | 1.48% | -0.26% | -4.86% | 0.38% | -1.91% | -2.12% |
| 2019 | 2.04% | 1.08% | 2.36% | 1.38% | -1.43% | 3.30% | 0.70% | 0.88% | 0.43% | 0.91% | 1.87% | 0.94% | 15.38% |
| 2020 | 2.20% | -2.41% | -0.83% | 0.66% | 0.71% | 0.21% | 0.80% | 0.88% | 0.16% | -1.94% | 2.91% | 0.89% | 4.67% |
| 2021 | -0.94% | 1.30% | 1.28% | 1.33% | 0.77% | 0.73% | 1.30% | 1.30% | -3.00% | 2.15% | -0.79% | 1.50% | 7.03% |
| 2022 | -3.69% | -0.82% | -0.44% | -2.24% | - 0.03% | -2.58% | 1.78% | -1.36% | -3.14% | 1.28% | 1.48% | -1.48% | -10.78% |
| 2023 | 1.67% | -1.49% | 1.27% | -0.08% | -0.71% | 1.24% | 0.94% | -1.47% | -1.98% | -1.36% | 4.09% | 2.02% | 4.04% |
| 2024 | 1.21% | 2.00% | 1.65% | -2.62% | 1.61% | 0.90% | 0.79% | -0.70% | 0.53% | -2.31% | 1.51% |
The BNP Paribas Global H-Factor Index is an excess return 1 index. Performance is net of rebalancing, replication fees and a maintenance fee of 0.50% per annum that is deducted on a daily basis.
COMPOSITION
The charts and tables below show the levels of the BNP Paribas Global H-Factor Index.
The performance shown is hypothetically simulated until 08 April 2022
Hypothetical & historical exposure as of st
| US Stocks | Europe Stocks | Japan Stocks | UK Stocks |
| US 10Y Treasury Futures | US 2Y Treasury Futures |
Year
Current exposure as of st
Index Composition as of
Source: Bloomberg, BNP Paribas from 01st June 2006 to .. Past performance is not an indicator of future performance. The BNP Paribas Global H-Factor Index <BNPIHFAC Index> is based on Hypothetical Past Performance Data (”PPD”) prior to the live date 08 April 2022, actual/historical performance begins after Launch Date. Because the BNP Paribas Global H-Factor Index did not exist prior to the launch date, all retrospective levels provided in the graph and table above are simulated and must be considered illustrative only. The presentation of hypothetical data reflects the deduction of fees and charges. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, certain assumptions that may or may not hold in future periods, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Global H-Factor Index.
1 The BNP Paribas Global H-Factor Index is an “Excess Return Index” meaning its returns are derived from changes in level of its components (known as “price return”) and profit or loss gained from rolling from one futures contract to another (known as “roll return”). Unlike Total Return Indices, it does not derive returns based on interest earned on cash or other collateral deposited in connection with the purchase of futures contracts (known as “collateral return”)
Risk warnings for hypothetical performance data
This discussion is not and should not be construed to be investment advice or an offer to sell or purchase or solicitation of an offer to sell or purchase any security or other instrument. This document describes strategies that may or may not be suitable or appropriate for particular investors and any investor is urged to consult with its investment, tax, accounting and other advisers prior to investing. Neither BNP Paribas nor any of its affiliates make any recommendation as to the suitability of any of any strategy or index for investment.
- The methodology underlying the Index may not be successful — No assurance can be given that the strategy or objectives of the Index will be achieved.
- Numerous factors (including, but not limited to, changes in: interest rates, investor expectations, economic results, regulations, liquidity) may affect the components of the Index and the performance of the Index.
- The Index involves synthetic execution and may not reflect actual market activity.
- The Index may contain embedded fees, which will reduce performance. Fees are determined based on certain assumptions and may not reflect actual market activity. The amount of fees deducted may vary under different market conditions.
- The methodology and rules related to the Index is subject to change
- The Index has limited historical information and publicly available information on the Index is limited. Additional information available upon request.
- Volatility control mechanism may limit performance
- Rebalancing may result in concentration risk and/or be partially or completely uninvested and may not achieve performance
- The use of leverage will have increased exposure to the index components
Selected Risk Considerations related to the Hypothetical Performance:
- Future performance may be worse than past and hypothetical historical results. Certain levels are simulated and must be considered hypothetical and illustrative only. Actual performance may bear little relation to the hypothetical historical results.
- 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 of the Index.
- Hypothetical past performance might not reflect all possible market conditions. The Index may perform differently under other market conditions
- Little information is available publicly about the Index. Additional information regarding the methodology and rules related to the Index is available upon request.
