The Interesting Case of Commodities, Inflation, and Carry

2021/03/10
Written by theamquant
Equities Fixed Income SRI

The Interesting Case of Commodities, Inflation, and Carry

10 March 2021

Commodities strategies are very interesting to monitor as risks for a higher inflation environment are back on the agenda of most investors. Our update shines some light on the compelling connection between commodities, inflation, and carry, with a specific focus on the THEAM Quant – Raw Materials Income fund and the BNP Paribas Easy Energy & Metals Enhanced Roll ETF.

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STRATEGY REMINDER - THEAM Quant Raw Material Income

  • The fund aims at generating a sustained income over the medium term by exploiting the outperformance of a positioning on maturities further along the forward curve vs a positioning on front-month contracts.
  • The long leg is a curve-enhanced portfolio whose positioning is determined by the S&P GSCI® Dynamic Roll methodology (which optimises the roll yield of commodity indices).
  • The short leg is a short position on the benchmark index.

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The investments in the funds are subject to market fluctuations and the risks inherent in investments in securities. The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay, the funds described being at risk of capital loss.

For a complete description and definition of risks, please consult the last available prospectus and KIID of the funds.

BNP PARIBAS ASSET MANAGEMENT France, “the investment management company,” is a simplified joint stock company with its registered office at 1 boulevard Haussmann 75009 Paris, France, RCS Paris 319 378 832, registered with the “Autorité des marchés financiers” under number GP 96002.

This material is issued and has been prepared by the investment management company. It contains opinions and statistical data that are considered lawful and correct on the day of their publication according to the economic and financial environment at the time. This document does not constitute investment advice or form part of an offer or invitation to subscribe for or to purchase any financial instrument(s) nor shall it or any part of it form the basis of any contract or commitment whatsoever.

This document is provided without knowledge of an investors’ situation. Prior to any subscription, investors should verify in which countries the financial instruments referred to in this document refers are registered and authorised for public sale. In particular financial instruments cannot be offered or sold publicly in the United States. Investors considering subscriptions should read carefully the most recent prospectus and Key Investor Information Document (KIID) agreed by the regulatory authority, available on the website. Investors are invited to consult the most recent financial reports, which are also available on the website. Investors should consult their own legal and tax advisors prior to investing. Given the economic and market risks, there can be no assurance that the financial instrument(s) will achieve its investment objectives. Their value can decrease as well as increase. In particular, changes in currency exchange rates may affect the value of an investment. Performance is shown net of management fees and is calculated using global returns with time factored in, with net dividends and reinvested interest, and does not include subscription-redemption fees, exchange rate fees or tax. Past performance is not a guarantee of future results.

All information referred to in the present document is available on www.bnpparibas-am.com.