The fund constitutes a dynamic long/short allocation strategy based on Artificial Intelligence (AI) identification of trend-following and mean-reversion across asset classes.

Investment Theme

Asset class

Style

Fund Objective:

The THEAM Quant – Multi Asset Artificial Intelligence fund aims to increase the value of its assets over the medium term by being exposed to a diversified long/short portfolio across different asset classes (fixed income, equities and commodities), the 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 fund’s annual volatility at a target level of 8%.

Key points:

• Use of an Artificial Intelligence algorithm (neural networks) for improved allocation of existing Quantitative Investment Strategies developed by BNP Paribas: trend following and mean reversion across asset classes.
  • This allows inclusion of indicators that go beyond 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 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.
• Dynamic daily allocation, parameters of which are reviewed on a yearly basis, to ensure reactivity to changing market conditions.

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