The fund aims to generate absolute return from three sources of commodity alpha: Curve, Momentum and Backwardation.
Objective:
The THEAM Quant Alpha Commodity fund aims to generate absolute performance, and increase the value of its assets over the medium term, by providing exposure to commodity futures contracts, via three risk-premia (alpha) factors identified in the Commodity space: Carry, Momentum and Value.
Key points:
- Access to commodity alpha sources via three market-neutral quantitative strategies, broadly uncorrelated with each other in order to benefit from diversification.
- Harvesting performance by capturing carry differentials that arise across commodity forward curves, in addition to the alpha derived from commodity markets’ inefficiencies and opportunities (supply-demand imbalances, price-driven trends, etc.).
- Dynamic and risk-balanced allocation between the three strategies, which is updated on a monthly basis.
- Aim to deliver a volatility level ranging from 3% to 6%.
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