X-Asset Risk Premia controlling volatility & drawdown through an innovative risk allocation, as well focusing on absolute return
Objective:
The THEAM Quant – Absolute Alpha Fund seeks to increase the value of its assets over the medium term, through the use of quantitative investment strategies across several asset classes, while controlling drawdown risk and volatility through an innovative proprietary CVaR framework.
Key points:
- Cross-Asset Risk Premia: The Fund follows a risk premia approach investing in different sources of return coming from market opportunities or inefficiencies across several asset classes (Equity, Rates, Forex and Commodities).
- Risk Allocation: Liquid and transparent risk premia are combined together through an innovative risk-budget process to ensure diversification. As well, aiming at improving the risk/return profile of the Fund, with a limited rebalancing frequency.
- Dynamic Monitoring: The portfolio of risk premia is assessed periodically and progressively enriched with new or improved strategies after validation by the Selection & Review Committee. The Committee is composed of 6 members from THEAM, including Senior Portfolio Managers, Structurers, Analysts and Risk Officers.
Performance data and latest documents
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Investments in the aforementioned strategies 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