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Introducing the

MULTI ASSET DIVERSIFIED X INDEX

The BNP Paribas Multi Asset Diversified X Index (“the Index”) is a rules-based index that aims to provide exposure to a range of asset classes and geographic regions based on momentum investing principles. The Index is comprised of nine components – four equity futures indices, three bond futures indices and two commodity futures indices.

Daily, the Index selects the combination of components (“the Portfolio”) with the highest past performance for a defined level of volatility and weighting constraints. The Index also aims to keep short-term annualized volatility at 5% and implements a layer of trend risk control when recent returns have been negative by allocating a portion of its weight to a non-remunerable cash exposure.

For more information on the Index performance and statistics, please click here. For a list of selected risks and considerations with the Index, please click here.

THE MULTI ASSET DIVERSIFIED X INDEX INCLUDES

STEP 1

BROAD DIVERSIFICATION

The Index is comprised of 9 components, covering 3 asset classes (equities, bonds and commodities) and 3 regions (US, Europe and Japan).

STEP 2

DYNAMIC ALLOCATION

Daily, the Index identifies eligible portfolios, different combinations of the 9 components with respect to defined weighting constraints*. The Index then selects the eligible Portfolio with the highest past performance (based on its trend over the last 1-year) for a defined level of volatility.

STEP 3

DAILY VOLATILITY CONTROL

The Index targets a short-term annualized volatility of 5%. When short-term volatility of the Portfolio is above 5%, the Index will decrease the Portfolio’s weight and increase the weight of the non-remunerable cash exposure, and vice-versa.

STEP 4

DAILY TREND RISK CONTROL

As the final step, if the trend in the Portfolio’s returns over the last 150 business days has been negative, the Index will decrease the Portfolio’s weight (up to 25%) and increase the weight of the non-remunerable cash exposure.

*Components’ maximum weights: 25% per equity futures index, 25% per bond futures index, and 25% per commodity futures index. 5% is the minimum weight for each US equity futures index, 0% is the minimum weight for each other component, and the sum of all components’ weights is capped at 200% (i.e., leverage is allowed). Daily, the absolute change in the weight of each US equity futures index and bond futures index is capped at 10%, and the absolute change in the weight of each other component is capped at 5%. The cost of borrowing on any non-remunerable cash exposure is zero.

BNP Paribas Multi Asset Diversified X, the global index that brings together diversified returns
with volatility management and adapts to overall market trends.

DOWNLOAD MATERIAL

FACTSHEET

A more concise overview of the Index with
the latest information on performance.

ABOUT BNP PARIBAS

A factsheet with more information
about the Index Sponsor, BNP Paribas.

Want to know more about the
BNP Paribas Multi Asset Diversified X Index?

multi.asset.diversified.x.index@us.bnpparibas.com

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Terms of Use

 

By accessing or otherwise using the content available on these pages (such content, including the indices, the analytics and the information on such pages, collectively, the “Content”), you agree to be bound by and abide by the terms of use governing use of this web site and these Supplemental Terms of Use (collectively, the “Terms of Use”). By clicking “ACCEPT” below you confirm that each access to and use of any Content by you indicates your continued acceptance of the Terms of Use. If you do not accept the Terms of Use, you should click the “DISAGREE” button and you will not have access to the Content. As used herein, the words “you” or “your” refer to the person accepting the Terms of Use.

The information provided herein was prepared for information purposes only by BNP Paribas (together with its affiliates, hereinafter “BNP Paribas”). The Content is indicative and should not be construed as an offer to buy or sell or a solicitation of offers to buy or sell any financial instrument. The Content is not intended to predict actual results, which may differ substantially from those reflected.

The BNP Paribas Multi Asset Diversified X Index (“the Index”) has been developed by BNP Paribas (the “Index Sponsor”) and will be calculated and rebalanced by BNP Paribas Financial Markets (the “Index Calculation Agent”). Notwithstanding the foregoing, conflicts of interest may exist where: (i) the Index Sponsor acts in multiple capacities with respect to the Index, including but not limited to functioning as index sponsor, licensing agent, and/or publisher; (ii) BNP Paribas’s Sales, Trading or Structuring desks launch tradable products linked to the performance of the Index. BNP Paribas has in place policies, information barriers and governance procedures that are designed to avoid or otherwise appropriately manage such conflicts of interest and ensure the independence and integrity of its indices.

The Index discussed within is the property of BNP Paribas and is protected by applicable intellectual property and other laws. The non-exclusive right to use this Index as underlying for any products is granted only upon completion of a license agreement with BNP Paribas. The Index Sponsor and its affiliates disclaim any responsibility for any unauthorized use of the Index Information by any third party.

Neither BNP Paribas nor any other party (including without limitation any calculation agents, third party licensors or data providers) makes any representation or warranty, express or implied, regarding the advisability of purchasing any products linked to the Index discussed within.

 

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