BNP PARIBAS
MULTI ASSET DIVERSIFIED 5 AF INDEX
INTRODUCING
THE BNP PARIBAS MULTI ASSET DIVERSIFIED 5 AF INDEX
The BNP Paribas Multi Asset Diversified 5 AF Index (“BNPP MAD 5 AF Index”) is a rules-based index sponsored by BNP Paribas comprised of eight components – three equity futures indices, three bond futures indices and two commodity indices across a number of geographic regions (the “Hypothetical Portfolio”).
The index dynamically rebalances the weights of its components, using a methodology based on momentum investing principles, which seeks to identify weights for the components that would have resulted in the hypothetical portfolio with the highest return subject to a certain level of volatility. In addition, the BNPP MAD 5 AF Index includes a risk control mechanism which seeks maintain its short-term volatility at the 5% level, and to reduce volatility during unstable and unpredictable market periods.
For a list of selected risk and considerations with the BNPP MAD 5 AF Index, please click here.
The BNPP MAD 5 AF Index is the Adjustment Factor (1% per annum) version of the original BNP Paribas Multi Asset Diversified 5 Index. For more information on the original version click here.
THE BNP PARIBAS MULTI ASSET DIVERSIFIED 5 AF HEDGED INDEX INCLUDES
The eight components are liquid market benchmarks that cover diverse geographic zones and a range of generally non-correlated assets including equities, commodities and government bond futures.
On a daily basis, the Index dynamically rebalances the weights of its components according to a proprietary rules-based methodology which seeks to identify weights for the components that would have resulted in the Hypothetical Portfolio with the highest past returns1, subject to a certain level of volatility and weighting constraints2.
1Computed based on a trend indicator that compares current component level to past component level over a 1 year period
2The components maximum weights are as follows: Each Equity Futures Index 25%, each Bond Futures Index 50%, and each Commodity Index 25%. Leverage is allowed and the cost of borrowing is zero. The sum of all weights is capped at 200% and floored at 0%. Minimum weight is 0% for each component. On a daily basis the absolute change in weight for each component cannot be greater than 5%.
Daily, the Hypothetical Portfolio targets an annualized realized volatility of 5%. If the realized volatility exceeds the 5% target rate on any day, the Index will reduce the weight of the portfolio and rebalance it with a non-remunerable hypothetical cash position. Based on the realized volatility, the BNPP MAD 5 AUD Index may be partially or wholly uninvested, and will not earn interest or any other return with respect to that cash position.
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BROCHURE
An 8 page overview of the Index complete with performance information and definitions of key terms.
Updated quarterly
FACTSHEET
A more concise overview of the Index, complete with latest performance information.
Updated quarterly
