Theam quant funds
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.
Bond Europe Climate Carbon Offset Plan
The THEAM Quant Europe Bond Carbon Offset Plan Fund aims to provide capital growth over the medium term and to offset its carbon footprint (Scope 1 and 2). It is exposed to the performance of a dynamic basket of European investment grade corporate Bonds, which are selected using a systematic selection method based on environmental, social and governance criteria (ESG) as well as carbon emission and energy transition criteria.
The carbon footprint of the portfolio is offset every quarter through the purchase of verified emission reduction certificates (VERs) from the Kasigau Corridor REDD+ project in Kenya, chosen by BNP Paribas for its environmental and social impact.
The selection of European investment grade corporate Bonds is made to ensure:
- Risk control:
- A long-only portfolio comprised of Bonds whose weight is between 0% and 1.5%, resulting on a minimum 67 Bonds;
- Diversification rule with a maximum exposure of 5% per issuer;
- An objective of controlled tracking error of around 0.5% to the European investment grande bond market;
- Promising yield: The Bonds eligible for inclusion in the portfolio are in the top 75% of the European Investment Grade Market in terms of yield-to-maturity
- A diversified liquid portfolio with high ESG standards
- Tangible environmental and social impact
- An answer to energy transition and carbon footprint reduction concerns
- Benefits from proven track record of the equity-based solution developed with the same aproach
- The fund provides exposure to BNP Paribas Bond Europe Climate Care Strategy which follows the below major steps in order to select the final portfolio and achieve its objectives
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):
- 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.
- 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.
- 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.
- 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%
- 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.
- 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.
The Hedge Fund Journal’s article: “BNP Paribas’s THEAM Quant Funds Range” The Hedge Fund Journal has published in its August
We are pleased to announce that our THEAM Quant – Fixed Income Diversifier fund have been awarded the Towards Sustainability
|Funds||Investment theme||Asset Class||Style|
|THEAM Quant - Bond Europe Climate Carbon Offset Plan||SRI Investing||Fixed Income||Benchmarked|
|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|
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