Any remaining weight is assigned to the 2-year U.S. Treasury Index such that the total assigned weights sum-up to 100%. The Morgan Stanley MAP Trend Index Invests in a Wide Range of Asset Classes. Actual results will vary, perhaps materially, from the simulated returns presented in this document. There is a time lag associated with the volatility calculation and there is no guarantee that the volatility in the preceding period is representative of the current volatility of the ETFs.
There Are Risks Associated with the Indexs Momentum Investment Strategy. You should consult with your own municipal, financial, accounting and legal advisors regarding the information, opinions or views contained in this communication. Index and may have a positive or negative effect on the value of the constituents or Index Components and consequently on the value of the Index.
Additionally, the weighting constraints mean that the Index must have some exposure to all of the ETFs at all times, even when there is no asset portfolio that would be expected to appreciate because all are in decline. - morgan stanley map trend index, If you believe that this page should be taken down, please follow our DMCA take down process, Something went wrong! Data based on simulated returns from September 22, 2003 to March 7, 2017, and actual returns thereafter. By submitting this communication to you, Morgan Stanley is not advising you to take any particular action based on the information, opinions or views contained herein, and acceptance of such document will be deemed by you acceptance of these conclusions. Research. For example, even if the volatility of the Index were to be in line with the volatility target, the level of the Index may decrease over time. The Index is rebalanced each Strategy Business Day (Daily Rebalancing). Although the Index aims to ensure that its realized volatility does not exceed 5%, there is no guarantee that it will successfully do so. An investment in instruments linked to the Index involves risks associated with emerging markets equities and bonds, currency exchange rates and commodities. The actual volatility achieved by the Index overall, as well as the volatility achieved for each Index Component, will likely differ-perhaps significantly-from the volatility target. Changes in the 3-month LIBOR will affect the value of the Index. For example, because of the weighting constraints, the Index may not allocate all of its exposure to the single ETF with the best performance over the prior six months, even if that ETF had a realized volatility of less than 5%. The level of the Index will include the deduction of a fee of 0.85% per annum. A servicing fee of 0.85% per annum, calculated on a daily basis, is included in the published Index level. Reliance on Information. The Index performance is further reduced by a servicing cost of 0 85% per annum. The Index Methodology then calculates a signal based on the upward or downward trend of each ETF (Trend Signal). Each ETF is assigned a weight that is the product of its normalized risk-budget weight and its trend signal. For that you need a, iShares iBoxx Investment-Grade Corporate Bond, iShares JPMorgan USO Emerging Markets Bond, The PowerShares DB US Dollar Index Bullish Fund, Monthly Average Allocations by Asset Class*. The level of the Index is calculated as the excess of the weighted return of the asset portfolio over an equivalent cash investment receiving the 3-month LIBOR. On a daily basis, the Index methodology monitors the volatility of this portfolio and adjusts the exposure so that the targeted annualized volatility of the Index remains around 5%.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this index supplement, the accompanying product supplement or the accompanying prospectus is truthful or complete. Morgan Stanley provides no assurance or guarantee that instruments linked to the Index will operate or would have operated in the past in a manner consistent with these materials. Dynamic allocation can help to achieve more steady returns as the allocation to each asset will be adjusted across different parts of the market cycle. Changes to the assumptions may have a material impact on any returns detailed. Changes in the Value of the Index Components May Offset Each Other. Where an investment is denominated in a currency other than the investors currency, changes in rates of exchange may have an adverse effect on the value, price of, or income derived from the investment. Investing in the securities involves risks not associated with an investment in ordinary debt securities. If you require advice in relation to any financial matter you should consult an appropriate professional.
Even if the hypothetical portfolio increases in value, the Index value will nevertheless decline if the increase in the value of the portfolio is not sufficient to overcome the deduction of the 3-month LIBOR and the servicing cost of 0 85% per annum. Any investments discussed in this communication may be unsuitable for investors depending upon their specific investment objectives and financial position. A Trend Signal that converges towards one indicates an upward trend and a Trend Signal that converges towards zero indicates a downward trend. Alternative simulations, techniques, modeling or assumptions might produce significantly different results and prove to be more appropriate. Historically, realized volatility tends to be higher when markets are falling. Risks Relating to an Investment in Products Linked to the Index.
It does This material is not a solicitation of any offer to buy or sell any security or other financial instrument or to participate in any trading strategy. The Index was established on March 7, 2017 and therefore has a very limited history. Morgan Stanley provides no assurance or guarantee that any product linked to the Index will operate or would have operated in the past in a manner. Adjustments to the Index Could Adversely Affect the Value of Instruments Linked to the Index.
The information provided herein was prepared by sales, trading, or other non-research personnel of one of the following: Morgan Stanley & Co. LLC, Morgan Stanley & Co. International PLC, Morgan Stanley MUFG Securities Co, Ltd, Morgan Stanley Capital Group Inc and/or Morgan Stanley Asia Limited (together with their affiliates, hereinafter Morgan Stanley), but is not a product of the Morgan Stanley Research Department This communication is a marketing communication and is not a research report For additional information and important disclosures, see http://www.morganstanley.com/disclaimers. This means that in higher volatility environments, the Index will take less exposure to the portfolio and more exposure to 2-Year U.S. Treasuries. In such markets, strategies that use past performance as an indicator of future performance, such as that followed by the Index, are subject to whipsaws, which occur when the market reverses and does the opposite of what is indicated by past performance. If market conditions do not represent a continuation of prior-observed trends, the performance of the Index, which is rebalanced based on prior trends, may be adversely affected. The Index Has Fixed Weighting Constraints.
Fully and Unconditionally Guaranteed by Morgan Stanley, Morgan Stanley MAP Trend Index Information. These allocations are dynamic, meaning that the Index is able to react to changes in market conditions over time and aims for more stable returns. The Index may therefore perpetually make hypothetical investments in portfolios when they are expensive, which may lead to poor returns. The information provided herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any securities or instruments or to participate in any particular trading strategy. The goal of the Index is to maximize returns for a given level of risk based upon recent trends in the underlying assets. Each day, the recent price trend of each ETF is monitored by comparing the current ETF price to its short-term and Long-term exponential moving averages.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. Actual results will vary, perhaps materially, from the simulated returns presented in this document.
Such cost is deducted when calculating the level of the Index and will thus reduce the return of the Index. Many traditional investments offer constant exposure to a universe of assets. There can be no assurance that the Index will achieve positive returns. not provide access to premium data. The risk budget weight for each ETF is proportional to its liquidity-driven maximum allowable exposure and the inverse of its realized volatility. The Index may experience significant declines in such markets.
1 Computed as the average of the daily allocations over the corresponding month. The information and analyses contained herein are not intended as tax, legal or investment advice and may not be suitable for your specific circumstances. While the Index has a volatility target of 5%, it may not achieve its target volatility, even if the asset portfolio is rebalanced daily. Transaction costs (such as commissions) are not included in the calculation of returns. Because the 2-Year U S Treasury Note Index and certain ETFs included in the Index Components existed for only a portion of the back-tested period, substitute data has been used for portions of the simulation. The performance data quoted represents past performance. The portfolios performance is calculated in excess of the performance of a cash investment receiving the 3-Month LIBOR rate. Past performance is not indicative of future returns. The Index is built according to a series of rules that determine the allocation to each asset class and Index component. Because realized volatility is measured over either approximately the prior month or two months for purposes of the volatility control feature, it may be some period of time before a recent increase in the volatility of the ETFs in the Index is sufficiently reflected in the calculation of realized volatility to cause a compensating reallocation in the asset portfolio. How Does the MAP Trend Index Compare to Modern Portfolio Theory-Based Indices Such as Morgan Stanleys ETF MAP 2 Index? The Index is constructed using what is generally known as a momentum-based investment strategy Momentum-based investing generally seeks to capitalize on positive trends in the prices of assets As such, the composition of the Index is based on the historical performance of the ETFs over both long-term and short-term periods However, there is no guarantee that trends existing in the preceding periods will continue in the future. The future performance of the Index may bear little or no relation to the historical or hypothetical retrospective performance of the Index. The actual performance of the Index may vary significantly from the results obtained from back-testing. It is impossible to predict whether the level of the Index will rise or fall. The information contained herein does not constitute advice. Source: Morgan Stanley, illustrative only. Therefore, in bullish markets, if the realized volatility is higher than the volatility target, the adjustments to the asset portfolio of the Index through daily rebalancing might dampen the performance of the Index.
The Index is designed to achieve a volatility target of 5% regardless of the direction of price movements in the market. The information provided herein was prepared by sales, trading, or other non-research personnel of one of the following: Morgan Stanley & Co. LLC, Morgan Stanley & Co. International PLC, Morgan Stanley MUFG Securities Co, Ltd, Morgan Stanley Capital Group Inc and/or Morgan Stanley Asia Limited (together with their affiliates, hereinafter Morgan Stanley), but is not a product of the Morgan Stanley Research Department. The Morgan Stanley ETF-MAP Trend Index (the Index) has been developed by and is calculated, published and maintained by Morgan Stanley & Co. LLC. - morgan stanley map trend index, Related Features The Index contains an embedded servicing cost of 0 85% per annum, calculated on a daily basis. Certain assumptions may have been made in this analysis, which have resulted in any returns detailed herein Transaction costs (such as commissions) are not included in the calculation of returns.
The Index invests in liquid U.S.-listed ETFs and a 2-Year U.S. Treasuries Index giving exposure across U.S. and foreign equities, U.S. fixed income, and alternatives such as gold, oil, U.S. dollar and REITs. With potential for diversified exposure to a wide range of asset classes, the MAP Trend Index utilizes a rules-based approach and seeks to invest in assets with upward trends using Liquid U.S.-Listed ETFs that represent equities, treasuries, bonds and alternatives.
For a limited time, you can sign up for a Forever Free Fintel account.
The targeted volatility for the Index is 5% (Volatility Target). This material is not a solicitation of any offer to buy or sell any security or other financial instrument or to participate in any trading strategy. Unlike an actual performance record, simulated results are achieved by means of the retroactive application of a back-tested model itself designed with the benefit of hindsight and knowledge of factors that may have possibly affected its performance. The Level of the Index Can Go Down As Well As Up.
Upon each Daily Rebalancing for the Index, the Index Methodology uses the pre-assigned Risk Budget assigned to each ETF and the volatility for each ETF to make initial base allocations.
The Index Is Particularly Susceptible to Choppy Markets. As an alternative, taking exposure to the Morgan Stanley MAP Trend Index can offer the benefits of this approach in one simple investment, with the following key features: The Index is calculated on an excess return basis, meaning that the index Levels represent the performance of the portfolio in excess of the 3-month LIBOR rate. The allocation to 2-Year U.S. Treasuries will be the difference between 100% and the actual exposure to the ETFs. You should consult with your own municipal, financial, accounting and legal advisors regarding the information, opinions or views contained in this communication. All data prior to that are simulated. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED HEREIN. Please check your spelling or try another term. The Future Performance of the Index May Bear Little or No Relation to the Historical or Hypothetical Retrospective Performance of the Index.
The ETFs (and corresponding fund inception dates) for which data has been used for all periods prior to the relevant inception date are: USMV (October 20, 2011), DVY (November 7, 2003), HYG (April 11, 2007), AGG (September 26, 2003), EMB (December 19, 2007), TIP (December 5, 2003), PFF (March 30, 2007), GLD (November 18, 2004), USO (April 10, 2006), VNQ (September 29, 2004) and UUP (February 20, 2007).
The Index calculates a trend signal by observing two moving averages, one short-term and one long-term, over different look-back periods for each respective ETF.
Potential investors should be aware that certain legal, accounting and tax restrictions, margin requirements, commissions and other transaction costs and changes to the assumptions set forth herein may significantly affect the economic consequences of the transactions discussed herein. Changes to the assumptions may have a material impact on any returns detailed.
The portfolio targets an annualized realized volatility of 5%. Each Sub-Indexs Portfolio of Index Components Is Varied and Represents a Number of Different Asset Classes in a Number of Different Sectors.
No representation is given with respect to accuracy or completeness, and they may change without notice. ** From September 22, 2004 to October 30, 2020. Low volatility is not synonymous with low risk in an investment linked to the Index. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. The Morgan Stanley Two Year Treasury Index Can Produce Negative Returns, Which May Have an Adverse Effect on the Level of the Index. The information and analyses contained herein are not intended as tax, legal or investment advice and may not be suitable for your specific circumstances. *Because the 2-Year U S Treasury Note Index and certain ETFs included in the Index Components existed for only a portion of the back-tested period, substitute data has been used for portions of the simulation. In addition, the strategy imposes an overall volatility targeting feature upon the resulting portfolio. The Index Contains Embedded Costs. If the hypothetical portfolio declines in value, the Index value will also decline. The Index aims to maximize returns across a diversified portfolio of assets for a defined level of risk. In particular, an increase in the 3-month LIBOR will negatively affect the value of the Index. There Can Be No Assurance That the Actual Volatility of the Index Will Be Lower Than the Volatility of Any or All of the Index Components. Description of morgan stanley map trend index, MORGAN STANLEY MAP TREND INDEX SUPPLEMENT (To Prospectus dated February 16, 2016)GLOBAL MEDIUMTERM NOTES, SERIES I Senior Notes Morgan Stanley Finance LLC GLOBAL MEDIUMTERM NOTES, SERIES A Senior, Fill & Sign Online, Print, Email, Fax, or Download, Form Popularity morgan stanley map trend index form, Related Forms If you are considering purchasing or investing in a product linked to the performance of the Index, you should read and be aware of the risks inherent to this Index. Higher volatility is therefore typically associated with higher risk. The performances of the Index and some of the component data have been retrospectively simulated for the period from September 22, 2003 to March 7, 2017. To attempt to achieve a 5% annualized volatility, the Index adjusts the exposure to the selected portfolio (as constructed in Step 3) based on a ratio of 5% to the selected portfolios historical realized volatility. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING STRATEGY IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. As a result, the level of the Index, reflects a deduction of the 3-month LIBOR that would apply to such a cash investment, and is less than the return on the weighted asset portfolio. In reality, it is not possible to invest with the advantage of hindsight and therefore this historical performance is purely theoretical and may not be indicative of future performance. Unless stated otherwise, the material contained herein has not been based on a consideration of any individual client circumstances and as such should not be considered to be a personal recommendation. Because certain ETFs included in the sub-asset classes existed for only a portion of the back-tested period, substitute data has been used for portions of the simulation. By the time the Index hypothetically invests in a portfolio of ETFs, the ETFs in that portfolio may already have experienced significant appreciation. The fact that a given allocation among the asset portfolio performed well over any look-back period does not mean that such allocation will continue to perform well in the future.
Morgan Stan ley is not acting as your advisor (municipal, financial, or otherwise) and is not acting in a fiduciary capacity. All rights reserved. The Morgan Stanley MAP Trend Index (the Index) uses portfolio construction concepts to seek positive-return opportunities in different market environments. The Index tracks the performance of a rules-based investment methodology that selects a hypothetical portfolio of underlying assets to track.
An asset with low volatility will typically have a stable price, whereas an asset with high volatility will have a price that can fluctuate quite frequently and sharply. For a summary of the Morgan Stanley MAP Trend Index, see Summary of the Index on page 11. Prospective investors should be experienced with respect to, and be able to evaluate and understand the risks of (either alone or with the investors investment, legal, tax, accounting and other advisors), transactions in investments the values of which are derived from different asset classes and sectors. Trend signals from step 2 are combined with the normalized risk budget weights from step 1 to derive the portfolio weights. Please see Index Performance (Simulated and Actual) on Page 8 for more details. The MAP Trend Index is built upon predetermined rules and employs several key portfolio construction concepts such as risk-budgeting and trend-following. The Index is rebalanced each day using the following steps: The historical realized volatility of each ETF asset is calculated with an exponential decay mechanism that gives more weight to more recent data. Copyright by Morgan Stanley 2020, all rights reserved, 2020 Morgan Stanley Smith Barney LLC Member SIPC. The Index applies limits to the weight that may be assigned to each ETF. The realized volatility of a portfolio can be decreased by reducing the allocation to volatile assets and replacing it with exposure to the 2-year U.S. Treasury Index, which has a very low volatility. As such, performance for periods prior to the establishment of the Index has been retrospectively simulated by Morgan Stanley & Co. LLC on a hypothetical basis. The notional portfolio constructed by the Index Methodology of Index Components is referred to as the Asset Portfolio. The Asset Portfolio will consist of long-only positions in each Index Component, and each Index Component except for the Morgan Stanley Two Year Treasury Index is subject to a maximum exposure cap. The Index is calculated on an excess return basis, and therefore the level is determined by the weighted return of the Asset Portfolio reduced by the return on an equivalent cash investment receiving the 3-month LIBOR. By submitting this communication to you, Morgan Stanley is not advising you to take any particular action based on the information, opinions or views contained herein, and acceptance of such document will be deemed by you acceptance of these conclusions. Such activities may not be for the benefit of the holders of investments related to the. No representation or warranty is made that any returns indicated will be achieved. Wherever data for the Morgan Stanley. Volatility calculations based on historical volatility presume that historical volatility is an accurate indication of current volatility. Where an investment is denominated in a currency other than the investors currency, changes in rates of exchange may have an adverse effect on the value, price of, or income derived from the investment. Morgan Stanley is not acting as a municipal advisor and the opinions or views contained herein are not intended to be, and do not constitute, advice, including within the meaning of Section 975 of the Dodd-Frank Wall Street Reform and Consumer Protection Act. Back-testing and other statistical analyses provided herein use simulated analysis and hypothetical circumstances to estimate how the Index may have performed between September 22, 2003 and March 7, 2017, prior to its actual existence. For additional information and important disclosures, see http://www.morganstanley.com/disclaimers.
Certain assumptions may have been made in this analysis, which have resulted in any returns detailed herein.
There Are Risks Associated with the Indexs Momentum Investment Strategy. You should consult with your own municipal, financial, accounting and legal advisors regarding the information, opinions or views contained in this communication. Index and may have a positive or negative effect on the value of the constituents or Index Components and consequently on the value of the Index.
Additionally, the weighting constraints mean that the Index must have some exposure to all of the ETFs at all times, even when there is no asset portfolio that would be expected to appreciate because all are in decline. - morgan stanley map trend index, If you believe that this page should be taken down, please follow our DMCA take down process, Something went wrong! Data based on simulated returns from September 22, 2003 to March 7, 2017, and actual returns thereafter. By submitting this communication to you, Morgan Stanley is not advising you to take any particular action based on the information, opinions or views contained herein, and acceptance of such document will be deemed by you acceptance of these conclusions. Research. For example, even if the volatility of the Index were to be in line with the volatility target, the level of the Index may decrease over time. The Index is rebalanced each Strategy Business Day (Daily Rebalancing). Although the Index aims to ensure that its realized volatility does not exceed 5%, there is no guarantee that it will successfully do so. An investment in instruments linked to the Index involves risks associated with emerging markets equities and bonds, currency exchange rates and commodities. The actual volatility achieved by the Index overall, as well as the volatility achieved for each Index Component, will likely differ-perhaps significantly-from the volatility target. Changes in the 3-month LIBOR will affect the value of the Index. For example, because of the weighting constraints, the Index may not allocate all of its exposure to the single ETF with the best performance over the prior six months, even if that ETF had a realized volatility of less than 5%. The level of the Index will include the deduction of a fee of 0.85% per annum. A servicing fee of 0.85% per annum, calculated on a daily basis, is included in the published Index level. Reliance on Information. The Index performance is further reduced by a servicing cost of 0 85% per annum. The Index Methodology then calculates a signal based on the upward or downward trend of each ETF (Trend Signal). Each ETF is assigned a weight that is the product of its normalized risk-budget weight and its trend signal. For that you need a, iShares iBoxx Investment-Grade Corporate Bond, iShares JPMorgan USO Emerging Markets Bond, The PowerShares DB US Dollar Index Bullish Fund, Monthly Average Allocations by Asset Class*. The level of the Index is calculated as the excess of the weighted return of the asset portfolio over an equivalent cash investment receiving the 3-month LIBOR. On a daily basis, the Index methodology monitors the volatility of this portfolio and adjusts the exposure so that the targeted annualized volatility of the Index remains around 5%.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this index supplement, the accompanying product supplement or the accompanying prospectus is truthful or complete. Morgan Stanley provides no assurance or guarantee that instruments linked to the Index will operate or would have operated in the past in a manner consistent with these materials. Dynamic allocation can help to achieve more steady returns as the allocation to each asset will be adjusted across different parts of the market cycle. Changes to the assumptions may have a material impact on any returns detailed. Changes in the Value of the Index Components May Offset Each Other. Where an investment is denominated in a currency other than the investors currency, changes in rates of exchange may have an adverse effect on the value, price of, or income derived from the investment. Investing in the securities involves risks not associated with an investment in ordinary debt securities. If you require advice in relation to any financial matter you should consult an appropriate professional. Even if the hypothetical portfolio increases in value, the Index value will nevertheless decline if the increase in the value of the portfolio is not sufficient to overcome the deduction of the 3-month LIBOR and the servicing cost of 0 85% per annum. Any investments discussed in this communication may be unsuitable for investors depending upon their specific investment objectives and financial position. A Trend Signal that converges towards one indicates an upward trend and a Trend Signal that converges towards zero indicates a downward trend. Alternative simulations, techniques, modeling or assumptions might produce significantly different results and prove to be more appropriate. Historically, realized volatility tends to be higher when markets are falling. Risks Relating to an Investment in Products Linked to the Index.
It does This material is not a solicitation of any offer to buy or sell any security or other financial instrument or to participate in any trading strategy. The Index was established on March 7, 2017 and therefore has a very limited history. Morgan Stanley provides no assurance or guarantee that any product linked to the Index will operate or would have operated in the past in a manner. Adjustments to the Index Could Adversely Affect the Value of Instruments Linked to the Index.
The information provided herein was prepared by sales, trading, or other non-research personnel of one of the following: Morgan Stanley & Co. LLC, Morgan Stanley & Co. International PLC, Morgan Stanley MUFG Securities Co, Ltd, Morgan Stanley Capital Group Inc and/or Morgan Stanley Asia Limited (together with their affiliates, hereinafter Morgan Stanley), but is not a product of the Morgan Stanley Research Department This communication is a marketing communication and is not a research report For additional information and important disclosures, see http://www.morganstanley.com/disclaimers. This means that in higher volatility environments, the Index will take less exposure to the portfolio and more exposure to 2-Year U.S. Treasuries. In such markets, strategies that use past performance as an indicator of future performance, such as that followed by the Index, are subject to whipsaws, which occur when the market reverses and does the opposite of what is indicated by past performance. If market conditions do not represent a continuation of prior-observed trends, the performance of the Index, which is rebalanced based on prior trends, may be adversely affected. The Index Has Fixed Weighting Constraints.
Fully and Unconditionally Guaranteed by Morgan Stanley, Morgan Stanley MAP Trend Index Information. These allocations are dynamic, meaning that the Index is able to react to changes in market conditions over time and aims for more stable returns. The Index may therefore perpetually make hypothetical investments in portfolios when they are expensive, which may lead to poor returns. The information provided herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any securities or instruments or to participate in any particular trading strategy. The goal of the Index is to maximize returns for a given level of risk based upon recent trends in the underlying assets. Each day, the recent price trend of each ETF is monitored by comparing the current ETF price to its short-term and Long-term exponential moving averages.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. Actual results will vary, perhaps materially, from the simulated returns presented in this document.
Such cost is deducted when calculating the level of the Index and will thus reduce the return of the Index. Many traditional investments offer constant exposure to a universe of assets. There can be no assurance that the Index will achieve positive returns. not provide access to premium data. The risk budget weight for each ETF is proportional to its liquidity-driven maximum allowable exposure and the inverse of its realized volatility. The Index may experience significant declines in such markets.
1 Computed as the average of the daily allocations over the corresponding month. The information and analyses contained herein are not intended as tax, legal or investment advice and may not be suitable for your specific circumstances. While the Index has a volatility target of 5%, it may not achieve its target volatility, even if the asset portfolio is rebalanced daily. Transaction costs (such as commissions) are not included in the calculation of returns. Because the 2-Year U S Treasury Note Index and certain ETFs included in the Index Components existed for only a portion of the back-tested period, substitute data has been used for portions of the simulation. The performance data quoted represents past performance. The portfolios performance is calculated in excess of the performance of a cash investment receiving the 3-Month LIBOR rate. Past performance is not indicative of future returns. The Index is built according to a series of rules that determine the allocation to each asset class and Index component. Because realized volatility is measured over either approximately the prior month or two months for purposes of the volatility control feature, it may be some period of time before a recent increase in the volatility of the ETFs in the Index is sufficiently reflected in the calculation of realized volatility to cause a compensating reallocation in the asset portfolio. How Does the MAP Trend Index Compare to Modern Portfolio Theory-Based Indices Such as Morgan Stanleys ETF MAP 2 Index? The Index is constructed using what is generally known as a momentum-based investment strategy Momentum-based investing generally seeks to capitalize on positive trends in the prices of assets As such, the composition of the Index is based on the historical performance of the ETFs over both long-term and short-term periods However, there is no guarantee that trends existing in the preceding periods will continue in the future. The future performance of the Index may bear little or no relation to the historical or hypothetical retrospective performance of the Index. The actual performance of the Index may vary significantly from the results obtained from back-testing. It is impossible to predict whether the level of the Index will rise or fall. The information contained herein does not constitute advice. Source: Morgan Stanley, illustrative only. Therefore, in bullish markets, if the realized volatility is higher than the volatility target, the adjustments to the asset portfolio of the Index through daily rebalancing might dampen the performance of the Index.
The Index is designed to achieve a volatility target of 5% regardless of the direction of price movements in the market. The information provided herein was prepared by sales, trading, or other non-research personnel of one of the following: Morgan Stanley & Co. LLC, Morgan Stanley & Co. International PLC, Morgan Stanley MUFG Securities Co, Ltd, Morgan Stanley Capital Group Inc and/or Morgan Stanley Asia Limited (together with their affiliates, hereinafter Morgan Stanley), but is not a product of the Morgan Stanley Research Department. The Morgan Stanley ETF-MAP Trend Index (the Index) has been developed by and is calculated, published and maintained by Morgan Stanley & Co. LLC. - morgan stanley map trend index, Related Features The Index contains an embedded servicing cost of 0 85% per annum, calculated on a daily basis. Certain assumptions may have been made in this analysis, which have resulted in any returns detailed herein Transaction costs (such as commissions) are not included in the calculation of returns.
The Index invests in liquid U.S.-listed ETFs and a 2-Year U.S. Treasuries Index giving exposure across U.S. and foreign equities, U.S. fixed income, and alternatives such as gold, oil, U.S. dollar and REITs. With potential for diversified exposure to a wide range of asset classes, the MAP Trend Index utilizes a rules-based approach and seeks to invest in assets with upward trends using Liquid U.S.-Listed ETFs that represent equities, treasuries, bonds and alternatives.
For a limited time, you can sign up for a Forever Free Fintel account.
The targeted volatility for the Index is 5% (Volatility Target). This material is not a solicitation of any offer to buy or sell any security or other financial instrument or to participate in any trading strategy. Unlike an actual performance record, simulated results are achieved by means of the retroactive application of a back-tested model itself designed with the benefit of hindsight and knowledge of factors that may have possibly affected its performance. The Level of the Index Can Go Down As Well As Up.
Upon each Daily Rebalancing for the Index, the Index Methodology uses the pre-assigned Risk Budget assigned to each ETF and the volatility for each ETF to make initial base allocations.
The Index Is Particularly Susceptible to Choppy Markets. As an alternative, taking exposure to the Morgan Stanley MAP Trend Index can offer the benefits of this approach in one simple investment, with the following key features: The Index is calculated on an excess return basis, meaning that the index Levels represent the performance of the portfolio in excess of the 3-month LIBOR rate. The allocation to 2-Year U.S. Treasuries will be the difference between 100% and the actual exposure to the ETFs. You should consult with your own municipal, financial, accounting and legal advisors regarding the information, opinions or views contained in this communication. All data prior to that are simulated. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED HEREIN. Please check your spelling or try another term. The Future Performance of the Index May Bear Little or No Relation to the Historical or Hypothetical Retrospective Performance of the Index.
The ETFs (and corresponding fund inception dates) for which data has been used for all periods prior to the relevant inception date are: USMV (October 20, 2011), DVY (November 7, 2003), HYG (April 11, 2007), AGG (September 26, 2003), EMB (December 19, 2007), TIP (December 5, 2003), PFF (March 30, 2007), GLD (November 18, 2004), USO (April 10, 2006), VNQ (September 29, 2004) and UUP (February 20, 2007).
The Index calculates a trend signal by observing two moving averages, one short-term and one long-term, over different look-back periods for each respective ETF.
Potential investors should be aware that certain legal, accounting and tax restrictions, margin requirements, commissions and other transaction costs and changes to the assumptions set forth herein may significantly affect the economic consequences of the transactions discussed herein. Changes to the assumptions may have a material impact on any returns detailed.
The portfolio targets an annualized realized volatility of 5%. Each Sub-Indexs Portfolio of Index Components Is Varied and Represents a Number of Different Asset Classes in a Number of Different Sectors.
No representation is given with respect to accuracy or completeness, and they may change without notice. ** From September 22, 2004 to October 30, 2020. Low volatility is not synonymous with low risk in an investment linked to the Index. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. The Morgan Stanley Two Year Treasury Index Can Produce Negative Returns, Which May Have an Adverse Effect on the Level of the Index. The information and analyses contained herein are not intended as tax, legal or investment advice and may not be suitable for your specific circumstances. *Because the 2-Year U S Treasury Note Index and certain ETFs included in the Index Components existed for only a portion of the back-tested period, substitute data has been used for portions of the simulation. In addition, the strategy imposes an overall volatility targeting feature upon the resulting portfolio. The Index Contains Embedded Costs. If the hypothetical portfolio declines in value, the Index value will also decline. The Index aims to maximize returns across a diversified portfolio of assets for a defined level of risk. In particular, an increase in the 3-month LIBOR will negatively affect the value of the Index. There Can Be No Assurance That the Actual Volatility of the Index Will Be Lower Than the Volatility of Any or All of the Index Components. Description of morgan stanley map trend index, MORGAN STANLEY MAP TREND INDEX SUPPLEMENT (To Prospectus dated February 16, 2016)GLOBAL MEDIUMTERM NOTES, SERIES I Senior Notes Morgan Stanley Finance LLC GLOBAL MEDIUMTERM NOTES, SERIES A Senior, Fill & Sign Online, Print, Email, Fax, or Download, Form Popularity morgan stanley map trend index form, Related Forms If you are considering purchasing or investing in a product linked to the performance of the Index, you should read and be aware of the risks inherent to this Index. Higher volatility is therefore typically associated with higher risk. The performances of the Index and some of the component data have been retrospectively simulated for the period from September 22, 2003 to March 7, 2017. To attempt to achieve a 5% annualized volatility, the Index adjusts the exposure to the selected portfolio (as constructed in Step 3) based on a ratio of 5% to the selected portfolios historical realized volatility. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING STRATEGY IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. As a result, the level of the Index, reflects a deduction of the 3-month LIBOR that would apply to such a cash investment, and is less than the return on the weighted asset portfolio. In reality, it is not possible to invest with the advantage of hindsight and therefore this historical performance is purely theoretical and may not be indicative of future performance. Unless stated otherwise, the material contained herein has not been based on a consideration of any individual client circumstances and as such should not be considered to be a personal recommendation. Because certain ETFs included in the sub-asset classes existed for only a portion of the back-tested period, substitute data has been used for portions of the simulation. By the time the Index hypothetically invests in a portfolio of ETFs, the ETFs in that portfolio may already have experienced significant appreciation. The fact that a given allocation among the asset portfolio performed well over any look-back period does not mean that such allocation will continue to perform well in the future.
Morgan Stan ley is not acting as your advisor (municipal, financial, or otherwise) and is not acting in a fiduciary capacity. All rights reserved. The Morgan Stanley MAP Trend Index (the Index) uses portfolio construction concepts to seek positive-return opportunities in different market environments. The Index tracks the performance of a rules-based investment methodology that selects a hypothetical portfolio of underlying assets to track.
An asset with low volatility will typically have a stable price, whereas an asset with high volatility will have a price that can fluctuate quite frequently and sharply. For a summary of the Morgan Stanley MAP Trend Index, see Summary of the Index on page 11. Prospective investors should be experienced with respect to, and be able to evaluate and understand the risks of (either alone or with the investors investment, legal, tax, accounting and other advisors), transactions in investments the values of which are derived from different asset classes and sectors. Trend signals from step 2 are combined with the normalized risk budget weights from step 1 to derive the portfolio weights. Please see Index Performance (Simulated and Actual) on Page 8 for more details. The MAP Trend Index is built upon predetermined rules and employs several key portfolio construction concepts such as risk-budgeting and trend-following. The Index is rebalanced each day using the following steps: The historical realized volatility of each ETF asset is calculated with an exponential decay mechanism that gives more weight to more recent data. Copyright by Morgan Stanley 2020, all rights reserved, 2020 Morgan Stanley Smith Barney LLC Member SIPC. The Index applies limits to the weight that may be assigned to each ETF. The realized volatility of a portfolio can be decreased by reducing the allocation to volatile assets and replacing it with exposure to the 2-year U.S. Treasury Index, which has a very low volatility. As such, performance for periods prior to the establishment of the Index has been retrospectively simulated by Morgan Stanley & Co. LLC on a hypothetical basis. The notional portfolio constructed by the Index Methodology of Index Components is referred to as the Asset Portfolio. The Asset Portfolio will consist of long-only positions in each Index Component, and each Index Component except for the Morgan Stanley Two Year Treasury Index is subject to a maximum exposure cap. The Index is calculated on an excess return basis, and therefore the level is determined by the weighted return of the Asset Portfolio reduced by the return on an equivalent cash investment receiving the 3-month LIBOR. By submitting this communication to you, Morgan Stanley is not advising you to take any particular action based on the information, opinions or views contained herein, and acceptance of such document will be deemed by you acceptance of these conclusions. Such activities may not be for the benefit of the holders of investments related to the. No representation or warranty is made that any returns indicated will be achieved. Wherever data for the Morgan Stanley. Volatility calculations based on historical volatility presume that historical volatility is an accurate indication of current volatility. Where an investment is denominated in a currency other than the investors currency, changes in rates of exchange may have an adverse effect on the value, price of, or income derived from the investment. Morgan Stanley is not acting as a municipal advisor and the opinions or views contained herein are not intended to be, and do not constitute, advice, including within the meaning of Section 975 of the Dodd-Frank Wall Street Reform and Consumer Protection Act. Back-testing and other statistical analyses provided herein use simulated analysis and hypothetical circumstances to estimate how the Index may have performed between September 22, 2003 and March 7, 2017, prior to its actual existence. For additional information and important disclosures, see http://www.morganstanley.com/disclaimers.
Certain assumptions may have been made in this analysis, which have resulted in any returns detailed herein.