The fund aims to offer long-run negative correlation to US equities, hereby providing strong diversification properties.
The THEAM Quant Dispersion US fund aims to provide unitholders, over a recommended investment horizon of two years, a strategy which benefits from the rise in single stock volatility, relative to their benchmark index. The Fund is for qualified investors wishing to invest in an instrument which provides diversification potential for an equity portfolio during material market drawdowns, while offering potential neutral carry cost over the medium term during rising markets.
- The fund aims to capture US dispersion by implementing a systematic strategy (via a basket of individual stocks’ volatility swaps and an index volatility swap) whilst leveraging BNP Paribas’ leading volatility expertise and infrastructure.
- Potential limited carry cost when compared to traditional volatility or other defensive strategies.
- The fund targets constant exposure to volatility enabling investors to invest on a “buy and hold” basis without the need to consider tactical market timing.