BNP PARIBAS
MULTI-ASSET TREND INDEX
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
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 Materials
BROCHURE
An 8 page overview of the Index complete with performance information and definitions of keys terms.
Updated monthly.
FACTSHEET
A more concise overview of the Index, complete with latest performance information. Updated monthly.
