MOMENTUM MULTI ASSET 5 INDEX

INTRODUCING

The BNP Paribas Momentum Multi Asset 5 Index

The BNP Paribas Momentum Multi Asset 5 Index (“BNPP Momentum 5 Index”) is a rules-based index that seeks to measure the value of a hypothetical exposure to a range of asset classes and geographic regions based on 3 core principles: Diversification, Dynamic Allocation and Risk Control. Its objective is to provide exposure to a diverse range of asset classes ranging from developed and emerging equity/bond markets, to energy, gold and US real estate.

On a daily basis, the BNP Paribas Momentum Multi Asset 5 Index selects up to 8 out of a universe of 14 components1 with the best recent risk adjusted positive performance to be weighted using a “risk parity” approach that generally results in higher exposure to components with lower historical volatility and lower exposure to those with high historical volatility.

In order to manage volatility in changing market conditions, a risk control mechanism aims to maintain the annual realized volatility of the performance of the index at a 5% target.

The BNP Paribas Momentum Multi Asset 5 Index is an “Excess Return Index” meaning that the index level reflects the performance of any index components that are ETFs in excess of 3-month USD LIBOR and inclusive of the value that would be derived from the reinvestment of any dividends and distributions by the issuer of any such ETFs and, with respect to components that are linked to futures contracts, the index level will not take into account any money market interest.

In addition, the index levels are net of rebalancing and replication fees, and incorporate an annual fee of 0.50%, charged on a daily basis.

For a list of selected risks and considerations with the BNPP Momentum 5 Index, please click here.

1 Components not selected will be weighted at zero or reduced to the lowest weight possible in accordance with each component’s limitation on its daily weight change.