BNP AM

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A long run negative correlation to US equities, providing strong diversification properties

Investment Theme

Liquid Alternatives

Asset class

Equities

Style

Volatility Arbitrage

Objective:

The THEAM Quant – Dispersion US Fund’s investment objective is to offer 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 the potential of diversification for an equity portfolio during material market drawdowns while offering a potential neutral carry cost over the medium term during rising markets. The Fund strategy is Implemented systematically via a basket of individual stock volatility swaps and an index volatility swap.

Key points:

  • Firstly, the THEAM Quant Dispersion US Fund aims to offer a long run negative correlation to US equities, providing strong diversification properties.
  • Moreover, it is implementing a systematic strategy. Therefor, the Fund aims to capture dispersion whilst leveraging BNP Paribas leading volatility expertise and infrastructure.
  • In addition, a potential limited carry cost when compared to traditional volatility or other defensive strategies.
  • At last, the Fund targets a constant exposure to volatility enabling investors to invest on a “buy and hold” basis without the need to consider tactical market timing.

Performance data and latest documents

    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