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Why we gave this rating

Gold indices are determined to be of high quality, scoring favorably in categories judged to be critical by The Index Standard. This index uses a now common approach to construct a multi-asset basket and it is well implemented. The basket weights are determined by using mean variance optimization (MVO). The MVO process examines all eligible portfolios to find the best portfolio weights that maximize the expected return, subject to the 5% target volatility level and other constraints. It has been very effective. The index then uses momentum to remove some components and adds a standard volatility control overlay.

BNP MAD5 Index

Inception Date: 25 Jan 2016

Sponsor

BNP Paribas

Fee

50 bps

  • Ticker

    BNPIMAD5

  • Index Type

    Excess Return

  • Index Bloomberg Ticker

    BNPIMAD5 Index

  • Style Information

    Momentum

  • Weighting Scheme

    Volatility Control

  • Asset Class

    Multi Asset/Rates

  • Replication Process

    Derivative

  • Underlying Region

    Global

  • Region Distributed

    United States

The information pertains exclusively to the index described. It does not address the historical performance or forecast or a product or products that use the index and it does not consider any floors, caps, participation rates or fees.

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PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE.

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