About Mad5

INTRODUCING THE

THE BNP PARIBAS MULTI ASSET DIVERSIFIED 5 INDEX

The BNP Paribas Multi Asset Diversified 5 Index (“the 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 (the “Hypothetical Portfolio”). BNP Paribas Multi Asset Diversified Index seeks to measure the value of a hypothetical exposure to a range of asset classes and geographic regions based on momentum investing principles.

On a daily basis, the BNP Paribas Multi Asset Diversified 5 Index determines weights of its components, using a rules-based methodology 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. On any given day, this methodology is designed to allocate a greater percentage of the BNP Paribas Multi Asset Diversified 5 Index towards components of the Hypothetical Portfolio that would have resulted in the Hypothetical Portfolio with the highest past returns¹ subject to a certain level of volatility and weighting constraints².

The Index also includes an additional risk control mechanism which seeks to maintain its short-term volatility at the volatility target of 5% on a daily basis. This mechanism adds a further layer of volatility control to the value of the Hypothetical Portfolio with the goal of reducing volatility during unstable and unpredictable market periods. For a more detailed description of the BNP Paribas Multi Asset Diversified 5 Index Contact Us Today.

For a list of selected risk and considerations with the BNP Paribas Multi Asset Diversified 5 Index, please click here.

¹ Computed based on a trend indicator that compares current component level to past component level over a 1 year period
² The 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%.

THE MULTI ASSET DIVERSIFIED 5 INDEX IS DESIGNED AROUND 3 KEY ASPECTS:

8 INDEX COMPONENTS

Commodity
Asset Classes

U.S. Asset
Classes

European
Asset Classes

Japanese
Asset Classes

Measures range of asset classes and geographic regions by drawing on the performance of eight components

Volatility Filter

RESULTING IN THE HIGHEST PAST RETURNS

-0.37%

+3.17%

+1.73%

Seeks to identify Hypothetical Portfolio with high past returns subject to a certain level of volatility and weighting constraints.

On a daily basis, Index dynamically rebalances the weights of the components according to a proprietary rules-based methodology.

Selected Portfolio

Hypothetical cash exposure

Volatility Increases

Volatility Decreases

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 exposure.

Based on the realized volatility, the BNPP MAD 5 Index may be partially or wholly uninvested,
and will not earn interest or any other return with respect to that cash exposure.

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

Click on the link below to learn more about the Index's sponsor, BNP Paribas. Updated quarterly.