BNP AM

The bank for a changing world

Single factor strategy on European Quality

Investment Theme

Defensive Strategies

Asset class

Equities

Style

Defensive Volatility

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
    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