BNP AM

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The fund aims to provide the benefits of long volatility exposure during pronounced market scenarios, while exhibiting positive carry on average.

Investment Theme

Defensive Strategies

Asset class

Equity

Style

Defensive Volatility

Funds Objective:

The THEAM Quant Dynamic Volatility Carry fund aims to provide the benefits of long volatility exposure during pronounced market stress scenarios, while exhibiting positive carry. It is for qualified investors seeking an agile and efficient defensive solution that does not drag on portfolio returns.

Key Points:

  • The two pillars of the fund’s dynamic and systematic strategy are:
    • Long Volatility Leg – Long volatility exposure through dynamic allocation to short-term VIX® index Futures: provides stronger pay-offs when market volatility spikes;
    • Income Leg – Short exposure to short-term out-of-the-money put options on the S&P500® Index: offsets costs, generates income in quiet markets.
  • The strategy offers high convexity with positive carry, thus not dragging onto portfolio returns.
  • The fund offers enhanced reactivity by executing daily i.e. providing smooth entry and exit points.

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