SELECTED RISKS & CONSIDERATIONS ASSOCIATED WITH THE INDEX
This document describes generic strategies that may or may not be suitable or appropriate for particular investors and any investor is urged to consult with its investment, tax, accounting and other advisers prior to investing. Neither BNP Paribas nor any of its affiliates make any recommendation as to the suitability of any of the strategies for investment.
Key risks linked to BNP Paribas “all-weather” alpha commodity indices
• The BNP Paribas “All-weather” Alpha Commodity Indices are exposed to partial or total losses. They are exposed to multiple market risks and factors. The indices may be negatively impacted by sudden price shocks without having the time to adjust exposure accordingly.
• Any negative performance of the indices components may be amplified by the implicit leverage when embedded in the indices. There is a leverage embedded into each strategy as well.
• The increase of correlation between portfolio components may not be excluded. This may undermine the diversification benefits of the indices. The low correlation to major asset classes is not guaranteed.
Select Risk Considerations related to Index:
• The methodologies do not involve the actual execution of any transaction.
• The Index involves synthetic execution and may not reflect actual market activity.
• The Index may contain embedded fees, which will reduce performance. Fees are determined based on certain assumptions and may not reflect actual market activity.
• The amount of fees deducted may vary under different market conditions.
• The methodology and rules related to the Index are subject to change.
• The Index has limited historical information and publicly available information on the Index is limited.
• The Index that incorporates a volatility control mechanism may limit returns.
• The Index rebalancing may result in concentration risk and/or cause the Index to be partially or completely un-invested and earn no return.
• The Index Sponsor of the Index may make certain decisions (such as whether to discontinue the respective Index) that may negatively affect the level of the Index.
Select Risk Considerations related to Hypothetical Performance:
• The methodologies underlying the strategy may not be successful — no assurance can be given that the strategy methodologies will achieve their goals.
• Hypothetical past performance is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance.
• The presentation of hypothetical historical performance reflects the deduction of fees and charges applicable to the strategies.
For information purposes only - Not for Further Distribution.