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

Investment Theme

Asset class

Style

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