Picto_Video Fixed Income

Theam quant funds

fixed income

Fixed Income

Fixed Income Funds offer solutions for multiple investment topics such as hedging and yield enhancement or cost/income ratio management.

Quantitative Easing and lower yields have brought very large inflows into the Fixed Income asset class – while at the same time ever reducing the attractiveness of its returns for the risk taken by investors.

We are strongly committed to continue the expansion of our range in the Fixed income universe, complementing already existing defensive solutions like the High Yield Europe Defensive – aiming to enjoy some of the remuneration of high yield credit without bearing its full risk – or option-based strategies enhancing returns in government bonds.

Fixed Income Diversifier

THEAM Quant – Fixed Income Diversifier gives access to different sources of returns in the interest rates curve with risk control mechanisms, in a fully systematic fashion. The objective of the fund is to increase the value of its assets over the medium term, by being exposed to a global dynamic long/short portfolio of short-term money market rates and long term government bonds. The portfolio is built using a systematic selection of diversified sources of return in the interest rates markets while aiming at (i) keeping the objective of keeping the Sub-fund annual volatility at a target level of 4,5% and (ii) reaching market neutrality of the government bonds exposure.

The fund leverages on the most recent research on factor investing in fixed-income.

The BNP Paribas Quantitative Investment Strategies Lab team (QIS lab) has released a new research paper called carry and momentum in government based on the results of their extensive work on factor investing in fixed-income.

Enhanced Government Bonds Global

The objective of the THEAM Quant – Enhanced Government Bonds Global Fund is to increase the value of its assets over the medium term by being exposed to a portfolio of worldwide government bonds and by implementing three systematic overlay strategies which aim at generating additional performance while having a low correlation with respect to the core strategy.

The Bond Portfolio combines four performance pillars, all of them being FX-hedged (in EUR):

  1. A core portfolio for around 100% of the Fund assets composed of worldwide government bonds with medium-term remaining maturities (7-10 years) and a low turnover of its composition, based on liquidity and quality criteria.
  2. A systematic strategy combining a daily sale of call options on Bund and US 10 years T-Notes as well as an average equivalent long Bund or U.S. 10 years T-Notes position to have a low correlation with respect to Bund or US 10 years T-Note, respectively.
  3. A systematic long/short portfolio which aims at completing the core portfolio exposure by adapting its geographical allocation to increase its allocation towards higher yield countries and reducing it towards lower yield coutries, while maintaining an overall  similar global net allocation.
  4. A systematic long/short portfolio which aims at completing the core portfolio exposure in German and Italian government bonds, by buying the duration with the highest yield potential and selling the duration with the lowest yield potential, in a beta-adjusted way so that the overall duration of the Fund is not modified.

 

High Yield Europe Defensive "HYPE"

Credit spreads are not particularly low, while absolute yield is. This leads to a difficult choice to get yield. High yield is often ruled out, despite its effective returns. Find out more about our THEAM Quant – High Yield Europe Defensive.

The objective of the fund is to provide capital growth (i) by being dynamically exposed to a long position on European high yield credit and (ii) by implementing a systematic options strategy which aims at reducing risk by minimizing volatility and drawdown in the fund.

Long exposure in Europe Crossover Credit:

  • Synthetic investment in the on-the-run series of Markit iTraxx Xover 5Y CDS Indices through BNP Paribas High Yield Europe 5Y Credit Index
  • Equivalent to a sale of protection under a credit default swap on a basket of 75 liquid Crossover European names, with 5 year maturity
  • Roll every 6 months from the existing to the new on-the-run series published by Markit

Volatility control mechanism:

  • The volatility-controlled strategy has a dynamic exposure to BNP Paribas High Yield Europe 5Y Credit Index targeting to maintain the volatility below 9%

Protection Overlay:

  • Daily purchase of synthetic put options on the volatility-controlled strategy with a 1-year maturity for SCR recognition and a 95% strike to limit drawdowns

Convertible Europe Investment Grade Fund

Investors seek equity participation in rising markets and reduced exposure in falling markets. Convertible Bonds funds benefit from high investor demand thanks to a convex risk/return profile.  The objective of the THEAM Quant – Convertible Europe Investment Grade Fund is to increase the value of its assets over the medium term, through the use of strategies linked to equity and convertible bond markets.

 

 The Funds’ investment strategy aims to provide:
  • A complementary offer to convertible bond markets: the funds is exposed to large cap equities and investment grade bonds
  • A superior risk-adjusted return and a reduced volatility compared to equity markets thanks to a dynamically enhanced management of the convexity
  • A dynamic management of the sensitivity (delta) of the fund to equity markets
  • A low and stable SCR (Solvency Capital Requirement) for insurance companies

For more details, please check the product page which is accessible through the table at the botom of this page.

Related Posts

RELATED funds

Funds Investment theme Asset Class Style
THEAM Quant - Convertible Europe Investment Grade Fixed Income Absolute Return
THEAM Quant - Enhanced Government Bonds Global Fixed Income Government bond
THEAM Quant - High Yield Europe Defensive Defensive Strategies / Income Fixed Income Defensive / Income
THEAM Quant - Fixed Income Diversifier Factor Investing Fixed Income Absolute Return

Investments in the aforementioned fund are subject to market fluctuation and risks inherent in investing in securities. The value of investments and the revenue they generate can increase or decrease and it is possible that investors will not recover their initial investment. Source: BNP Paribas Asset Management Holding, registered with the Paris Registry of Commerce and Companies under number 682 001 904 as a Limited Company with share capital of 23 041 936 euros. Registered office: 1 Boulevard Haussmann, 75009 Paris. Postal address: TSA 47000/75318 PARIS CEDEX 09

bnpam-logo

The asset manager for a changing world