Single factor strategy on European Quality

Investment Theme

Asset class

Style

Objective:

THEAM Quant – Dynamic Volatility Carry seeks to provide long volatility exposure during pronounced market stress scenarios, while exhibiting positive carry. The Fund is for qualified investors seeking an agile and efficient defensive solution that does not drag on portfolio returns. The Fund strategy is implemented systematically, and offers and optimized way of getting long exposure to VIX futures, while keeping a positive carry cost on the long run.

Key points:

• Firstly, the THEAM Quant Dynamic Volatility Carry aims to offer long volatility exposure during market stress scenarios.
  • It provides stronger pay-offs as the market drawdown aggravates and volatility spikes through the dynamic exposure to VIX futures.
• Moreover, it offers high convexity with a positive carry, thus not dragging on portfolio returns.
  • The cost-efficient dynamic long volatility exposure is combined with an income leg.
•  At last, the Fund provides enhanced reactivity provided by smooth entry and exit points.
  • Several intaday fixing to prevent a heavy exposure to VIX® closing price

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