Correlation of performances among the underlying components may reduce the levels of the BNP Paribas Cross Asset Trend & AI Index.
Performances among the underlying components may become highly correlated from time to time. High correlation during periods of negative returns among underlying components representing any one sector or asset type that have a substantial weighting in the BNP Paribas Cross Asset Trend & AI Index could have a material adverse effect on the levels of the BNP Paribas Cross Asset Trend & AI Index, which could in turn negatively affect the performance any product or strategy based partly or wholly on the levels of the BNP Paribas Cross Asset Trend & AI Index.
Legal and regulatory regimes may a ect the BNP Paribas Cross Asset Trend & AI Index, its components or its sub-components.
The BNP Paribas Cross Asset Trend & AI Index and its components (and sub-components thereof) are subject to legal and regulatory regimes in various regions and, in some cases, in other countries that may change in ways that could negatively affect the BNP Paribas Cross Asset Trend & AI Index or its components (or sub-components thereof). Changes to the applicable legal or regulatory regimes may have a negative impact on the BNP Paribas Cross Asset Trend & AI Index level. The components (or sub-components thereof) of the index that are traded on one or more public exchanges are subject to the rules of the relevant exchange.
The BNP Paribas Cross Asset Trend & AI Index has limited historical information.
The BNP Paribas Cross Asset Trend & AI Index is a new strategy, live on 09 February 2024. The performance shown before that date is hypothetical past performance, based on hypothetical back-tested information. This brochure also contains certain performance data based on back-testing, i.e., calculations of the hypothetical levels of the BNP Paribas Cross Asset Trend & AI Index as if it had actually existed during a defined period of time, and may in certain circumstances contain simulated levels information where the BNP Paribas Cross Asset Trend & AI Index has recently been established or issued. For time periods prior to the launch of any component included in the index, back-testing uses alternative performance information derived from a proxy with similar asset exposure, rather than performance information for the relevant component. Further, you must note that such analysis is based on a number of working assumptions that may not be capable of duplication in actual trading terms. Unlike actual performance records, hypothetical or simulated performances, returns or scenarios may not necessarily reflect certain market factors such as liquidity constraints, fees and transaction costs and must be considered as illustrative only. Actual historical or back-tested past performance does not constitute an indication of future results. The actual performance of the BNP Paribas Cross Asset Trend & AI Index may bear little relation to its hypothetical historical results.
The BNP Paribas Cross Asset Trend & AI Index has limited public information.
The BNP Paribas Cross Asset Trend & AI Index is a custom index developed by BNP Paribas, the Index Sponsor. There is limited information relating to the BNP Paribas Cross Asset Trend & AI Index that is publicly available. In addition, publicly available information on the BNP Paribas Cross Asset Trend & AI Index, its methodology and its components is limited
The BNP Paribas Cross Asset Trend & AI Index’s daily volatility control mechanism may result in a lower index level and the actual volatility of the BNP Paribas Cross Asset Trend & AI Index may not equal its target volatility.
The BNP Paribas Cross Asset Trend & AI Index’s daily volatility control allows the BNP Paribas Cross Asset Trend & AI Index to dynamically adjust the value of the hypothetical exposure to the portfolio the index is based on and any cash component, depending on the volatility environment. However, the risk control overlay might limit overall levels of the BNP Paribas Cross Asset Trend & AI Index in rising equity markets and may provide imperfect, limited protection in falling equity markets, particularly against sudden, large equity losses. No assurance can be given that the BNP Paribas Cross Asset Trend & AI Index methodology will achieve its target volatility goals or that products or strategies based partly or wholly on the levels of the BNP Paribas Cross Asset Trend & AI Index will outperform any alternative investment
The closing levels of the BNP Paribas Cross Asset Trend & AI Index will include the deduction of an Annual Fee.
The closing level of the BNP Paribas Cross Asset Trend & AI Index includes a deduction from the aggregate values of its components of an annual fee equal to 0.50% per annum. As a result of this deduction, the value of the BNP Paribas Cross Asset Trend & AI Index will trail the value of a hypothetical identical portfolio from which no such amount is deducted.
The closing level of the BNP Paribas Cross Asset Trend & AI Index is net of BNP Paribas’ replication and rebalancing costs.
The Closing Level of the BNP Paribas Cross Asset Trend & AI Index is net of BNP Paribas’ replication and rebalancing costs associated with the index. As a result of these costs, the value of the BNP Paribas Cross Asset Trend & AI Index could trail the value of a hypothetical identical portfolio from which no such amount is deducted.
The BNP Paribas Cross Asset Trend & AI Index is an excess return index.
In general, returns from investing in futures contracts are derived from three sources: (1) changes in the price of such futures contracts (known as the “price return”), (2) profit or loss realized when rolling from a futures contract with one expiry date to another futures contract with a different, generally later, expiry date (known as the “roll return”) and (3) interest earned on the cash (or other) collateral deposited in connection with the purchase of such futures contract (known as the “collateral return”). The components of the BNP Paribas Cross Asset Trend & AI Index that seek to track futures contracts generate “excess returns”, meaning the sum of the price return and roll return with respect to the underlying components. As a result, with respect to the BNP Paribas Cross Asset Trend & AI Index’s underlying components that seek to track futures contracts, an investment in an instrument linked to the BNP Paribas Cross Asset Trend & AI Index will not generate the same returns that would be obtained from investing directly in future contracts that underlie such underlying components because the collateral return is not used in calculating the “excess return” index
BNP Paribas Arbitrage SNC, an a liate of the BNP Paribas Cross Asset Trend & AI Index Sponsor, BNP Paribas, is the index’s calculation agent who is responsible for calculating the levels of the BNP Paribas Cross Asset Trend & AI Index.
The policies and calculations for which the calculation agent is responsible could have an impact, positive or negative, on the level of the BNP Paribas Cross Asset Trend & AI Index. BNP Paribas and its affiliates are under no obligation to consider your interest as an investor in a product linked to the BNP Paribas Cross Asset Trend & AI Index
Portions of the BNP Paribas Cross Asset Trend & AI Index may be e ectively uninvested and earn no return.
The BNP Paribas Cross Asset Trend & AI Index, on each day on which it is calculated, adjusts its exposure to its components in an attempt to maintain an annualized volatility of 5%. If the aggregate weight of the components is less than 100%, the BNP Paribas Cross Asset Trend & AI Index will allocate exposure to a hypothetical cash position. As a result, the BNP Paribas Cross Asset Trend & AI Index may underperform a similar index that provides 100% exposure to its components. The hypothetical cash position is an uninvested position that does not earn interest or any other return.