BNP AM

The bank for a changing world

US Factor Defensive is a diversified Multi-Factor Portfolio with option overlay reducing volatility and drawdowns

Asset class

Equities

Style

Defensive

Objective:

The THEAM Quant – Equity US Factor Defensive Fund aims at generating excess returns over the market benchmarks by being exposed to a risk-balanced portfolio composed of four core equity factors – momentum, quality, low volatility and value. In addition to that, the Fund implements a systematic options strategy which aims at reducing risk by minimizing volatility in the Fund.

Key points:

  • Firstly, the THEAM Quant – Equity US Factor Defensive Fund is exposed to the US equity market.
  • Moreover, its core the US Multi-Factor strategy combines equity factors aiming to maximize return in a low correlated portfolio.
  • A short term call option overlay strategy with the objective to generate additional income while limiting the fund’s volatility.
  • In addition, a long term put option strategy aiming to reduce the fund’s volatility.

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