BNP AM

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Fixed Income Diversifier offers access to different sources of returns in the interest rates curves in a fully systematic fashion

Investment Theme

Factor Investing

Asset class

Fixed Income

Style

Absolute Return

Objective:

The THEAM Quant – Fixed Income Diversifier (FIND) fund implements a systematic strategy aiming to generate uncorrelated performance over the medium term, by being exposed to a global dynamic long/short portfolio of short-term money market rates and long term government bonds.

Key points:

THEAM Quant Fixed Income Diversifier gives access to different sources of returns in the interest rates curve with risk control mechanisms, in a fully systematic fashion:

  • Firstly, trends in short-term interest rates.
  • Moreover, interest rates differences across countries observed with a diversified set of factors: Carry, Momentum, and Relative Value while aiming at neutralising the long-term duration exposure.
  • In addition, leverages on the most recent research on factor investing in fixed-income. The BNP Paribas Quantitative Investment Strategies Lab team (QIS lab) has released a new research paper called ‘Beyond carry and momentum in government bonds’ based on the results of their extensive work on factor investing in fixed-income. This research paper is available publicly.
  • At last, volatility control target set at 4.50%.

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