The fund has an absolute-return strategy harvesting carry between optimal and front-month futures contract.
The THEAM Quant – Raw Materials Income fund aims to increase the value of its assets over the medium term, through the use of a quantitative, non-directional investment strategy based on commodity markets, excluding the agriculture, livestock and precious-metals sectors.
- The fund’s strategy takes long and short exposure to a diversified basket of commodity future indices (excluding the Agriculture and Livestock sectors) and aims to replicate the performance of the BNP Paribas DR Alpha ex-Agriculture and Livestock Index.
- Access to the Commodity Curve Alpha source that was implemented in our flagship in-house commodity strategy, BNP Paribas® Oscillator Commodity Strategy (live since October 2007).
- Commodity Curve Alpha is created through an optimal investment on the forward curve using the S&P GSCI® Dynamic Roll mono-indices.
- Diversified allocation among 10 commodities within a broad, ex-agriculture and livestock commodity universe.