Download Merrill Lynch RPM Index

Investable Indices
Monthly Fact Sheet
June 2017
Merrill Lynch RPM Index™
General Information:
Asset Class
Currency
Bloomberg Ticker
Live Date
Base Date
Valuation Frequency
Index Liquidity
Index Sponsor
Source: Bloomberg
Index Overview
Multi Asset
USD
MLRPM
01-Mar-2016
28-Mar- 2002
2014
Daily
Daily
Merrill Lynch
International
The Merrill Lynch RPM Index™ (the “Index”) tracks a rules-based strategy that
represents a hypothetical variable investment in a portfolio containing several
types of asset, including equities, commodities and fixed income. The portfolio
contains long positions in up to seven underlying assets: (i) S&P Low Volatility
Index (“SP5LVIT”); (ii) iShares MSCI EAFE Index Fund (“EFA”); (iii) iShares MSCI
Emerging Markets Index Fund (“EEM”); (iv) SPDR Gold Shares ETF (“GLD”); (v)
Merrill Lynch 10-Year U.S. Treasury Futures Index (“MLT1US10”); (vi) iShares
Dow Jones US Real Estate ETF (“IYR”); and (vii) Merrill Lynch 2-Year Treasury
Futures Index (“MLT1US02”) (each, an “Underlying Component” and
collectively, the “Underlying Components”). The Index uses historical volatility
and correlation measures to create a risk parity portfolio and then overlays a
momentum indicator to help navigate away from downward trending
Underlying Components.
Each day the Index adjusts its position between the portfolio and cash with a
target of realized volatility of 5% annualized. The portfolio position may
fluctuate between 0% and 150% of the Index level. Accordingly, the Index may
utilize leverage to amplify the returns of the portfolio. The portion of the Index
allocated to cash accrues interest, while a leveraged portion of the Index has
interest deducted. In either case, the interest rate used is USD 3-month LIBOR.
The index is excess USD 3-month LIBOR.
Index Performance
(as of June 30, 2017)
The Index was created on March 1, 2016. Levels for the Index before March 1, 2016 represent hypothetical data
determined by retroactive application of a backtested model, itself designed with the benefit of hindsight. Past
performance is not indicative of future performance. Actual performance will vary, perhaps materially, from
the performance set forth herein. The performance of the Index does not include fees or costs of any financial
instrument referencing the index.
260
Merrill Lynch RPM Index
230
200
170
140
110
80
Mar-02
Mar-04
Source: Bloomberg.
Mar-06
Mar-08
Mar-10
Mar-12
Mar-14
Mar-16
Investable Indices
Monthly Fact Sheet
June 2017
Index Constituents
ML RPM Index Constituents
Underlying
Equities
S&P Low Volatility Index
iShares MSCI EAFE Index Fund
iShres MSCI Emerging Mkts Index Fund
Fixed Income
Merrill Lynch 10 yr U.S. Treasury Futures Index
Merrill Lynch 2 yr U.S. Treasury Futures Index
Real Assets
SPDR Gold Shares ETF
iShares Dow Jones US Real Estate ETF
Ticker
SP5LVIT
EFA
EEM
MLT1US10
MLT1US02
GLD
IYR
Historical Index and Asset Weights
100%
90%
80%
70%
MLT1US02 Weight
60%
MLT1US10 Weight
EFA Weight
50%
IYR Weight
GLD Weight
40%
EEM Weight
SP5LVIT Weight
30%
20%
10%
0%
Mar-02
Mar-04
Mar-06
Mar-08
Mar-10
Mar-12
Mar-14
Mar-16
Investable Indices
Monthly Fact Sheet
June 2017
Historical Participation Rates
Target Volatility Participation
150%
120%
90%
60%
30%
0%
Mar-02
Mar-04
Mar-06
Mar-08
Mar-10
Mar-12
Mar-14
Mar-16
Monthly Historical Performance
Source: Bloomberg (as of 6/30/17)
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Jan
1.17%
0.66%
2.90%
-1.62%
0.36%
1.38%
-0.15%
-0.68%
-1.08%
2.09%
0.71%
2.32%
-1.29%
Feb
0.96%
1.00%
-1.82%
1.80%
1.34%
-0.36%
0.50%
0.95%
-0.07%
1.82%
0.79%
-0.49%
1.43%
Mar
1.19%
0.65%
0.15%
-0.62%
1.52%
-0.57%
0.24%
1.00%
1.31%
0.14%
-0.46%
0.10%
-1.87%
Apr
1.00%
0.38%
-0.68%
1.35%
2.76%
1.78%
3.30%
1.57%
-1.10%
-1.72%
0.83%
1.71%
0.71%
May
1.44%
-1.13%
-0.31%
1.84%
-3.55%
1.02%
1.75%
-0.41%
-0.16%
-0.75%
-1.21%
-1.23%
0.53%
Jun
-1.04%
3.63%
-1.47%
0.70%
-0.99%
0.89%
-0.92%
0.90%
-1.18%
0.44%
-1.99%
-0.82%
0.84%
Jul
Aug
Sep
Oct
Nov
Dec
Year
0.33%
1.89%
-2.28%
1.37%
1.63%
2.14%
1.89%
1.06%
0.09%
0.56%
0.84%
-0.08%
-1.24%
-2.42%
2.10%
-1.69%
-0.14%
0.16%
1.43%
0.44%
-0.09%
1.85%
0.90%
0.39%
0.41%
0.81%
-2.58%
2.43%
0.39%
-1.21%
2.35%
2.59%
-0.38%
2.44%
0.21%
1.18%
-1.61%
-0.40%
1.22%
1.80%
-0.35%
1.60%
1.06%
0.25%
-0.63%
2.23%
1.29%
-2.18%
-3.85%
-0.27%
1.43%
0.50%
1.24%
0.82%
-0.33%
3.60%
3.61%
1.55%
2.12%
1.79%
0.30%
-0.33%
-0.08%
0.43%
-0.02%
0.64%
-0.63%
-1.72%
1.57%
0.34%
-0.91%
1.60%
-0.64%
-2.05%
3.15%
6.28%
7.06%
9.16%
9.43%
3.88%
6.23%
7.79%
6.14%
2.99%
Investable Indices
Monthly Fact Sheet
June 2017
Attribution Analysis
0.30%
Components' Attribution
0.14%
0.10%
0.02%
0.00%
-0.02%
-0.04%
-0.10%
-0.16%
-0.30%
-0.30%
-0.50%
-0.70%
-0.68%
-0.90%
SP5LVIT
EEM
GLD
IYR
EFA
MLT1US10 MLT1US02
Libor
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