BNP Paribas Multi Asset Trend

Introducing

The BNP Paribas Multi-Asset Trend Index

The BNP Paribas Multi-Asset Trend Index (“the Index”) is a rules-based Index which intends to benefit from trends of a diverse range of asset classes and geographic regions.

The 58 underlying components are representative of the following 5 asset classes: equities, rates, commodities, credit and foreign exchange rates (“forex”).

By including a large number of components, the Index seeks diversification in both up and down movements. Long and short exposures are identified and adjusted in anticipation of market trends with additional measures built-in aiming to limit the effect of risk on performance.

In summary, the BNP Paribas Multi-Asset Trend Index aims to generate excess return by using a trend-following strategy and to offer diversification in a multi-asset class universe.

THE BNP PARIBAS MULTI-ASSET TREND INDEX WAS CREATED BY

By including 58 components representative of 5 asset classes, the Index intends to diversify exposure according to the philosophy of the Modern Portfolio Theory.

The Modern Portfolio Theory (“MPT”) is a Nobel Prize-winning scientific theory that was developed in the 1950s by economist H. Markowitz and emphasizes the importance of diversification of components’ risk.

It is not just about picking securities, but about choosing the right combination.

H. Markowitz

The BNP Paribas Multi-Asset Trend Index incorporates MPT construction from a large number of diverse components, aiming for diversified exposure.

With the objective to anticipate both up and down movements of the market, the Index seeks exposure to components based on their historical trends.

The trend of the price level of each component is calculated upon the variance of current and historical price levels. After determining each component’s trend, the Index
methodology will allocate accordingly.

To incorporate several measures relating to components’ weights and correlations intending to reduce the impact of risk on performance.

Weight constraints are intended to avoid disproportionate risk coming from concentrated exposures to some components.

The Index methodology is designed to adjust each component’s expected return to reflect correlation levels, aiming to limit spreads between expected returns.

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.

Wish to know more about the
BNP Paribas Multi-Asset Trend Index?

multi-asset.trend.index@us.bnpparibas.com

Important Information

The BNP Paribas Multi-Asset Trend Index (the “BNPP Multi-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 Multi-Asset Trend Index”, and “BNPP Multi-Asset Trend Index” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP.

In calculating the performance of the BNPP Multi-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 Multi-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 Multi-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 Multi-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 Multi-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 Multi-Asset Trend Index at any given time.

BNPP may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the BNPP Multi-Asset Trend Index. The BNPP Multi-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 Multi-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 Multi-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 Multi-Asset Trend Index and/or products linked to the BNPP Multi-Asset Trend Index, which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.

BNP PARIBAS MULTI-ASSET TREND INDEX