BNP AM

The bank for a changing world

The fund aims to generate absolute return, through the use of quantitative investment strategies across different asset classes and factors, while maintaining a defensive profile.

Investment theme

Liquid alternatives

Asset class

Multi-asset

Style

Absolute return

Fund objective:

The THEAM Quant – Cross Asset High Focus Fund seeks to increase the value of its assets over the medium term, through the use of quantitative investment strategies across different asset classes. The systematic allocation between quantitative strategies aims for a defensive portfolio over the long-term compared to traditional assets with similar volatility (such as broad equity indices). The fund targets an annual volatility between 10-15%, although, the achievement of this target is not guaranteed.

Key points:

  • Fund strategy is diversified across core asset classes and factors, resulting in low correlation between the resulting portfolio and equity, allowing it to carry on through market cycles.
  • Components are selected on the basis of their expected behaviour during market drawdowns; use of quantitative and qualitative filters to aim for a defensive portfolio which exhibits positive carry on average.
  • The resulting “high focus” portfolio has high volatility and each individual strategy is highly leveraged so that high absolute return can be achieved.

Performance data and latest documents

2-pager Find out more about this fund
Newsletter Find out more about this fund
All documents and data See performance graphs and all information available