BNP AM

The bank for a changing world

Multi Asset Artificial Intelligence Fund is a dynamic allocation strategy based on “Artificial Intelligence” trend and mean-reversion identification across asset classes

Investment Theme

Liquid Alternatives / Income

Asset class

Multi-Asset

Style

Managed Futures

Objective:

The THEAM Quant – Multi Asset Artificial Intelligence Fund seeks to increase the value of its assets over the medium term, by being exposed to a diversified long/short portfolio across different asset classes (equities, fixed income and commodities), allocation of which is determined using a systematic method based on artificial intelligence. The exposure to the portfolio is adapted in order to keep the Sub-fund annual volatility at a target level of 8%.

Key points:

  • Firstly, use of an Artificial Intelligence algorithm (neural networks) for an improved allocation of existing robust Quantitative Investment Strategies developed by BNP Paribas: trend following and mean reversion across asset classes.
    • This allows to include indicators that go beyond the standard trend ones and thus improve the risk/return profile by aiming to capture reversal as well.
    • The algorithm considers many parameters such as observation periods for trends (1-month to 1-year) and mean reversion (1-week to 1-month) – which allows to better fit optimal frequency for each component while avoiding overfitting issues.
    • Machine learning techniques allow to solve non-linear optimisation across this enriched set of 378 indicators and hence to go one step further in the enhancement of the allocation process.
  • A dynamic daily allocation, parameters of which are entirely reviewed on a yearly basis, to ensure reactivity to changing market conditions. It results from the collaboration between BNP Paribas Asset Management MAQS department and BNP Paribas Quantitative Investment Strategies.
    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