THEAM Quant Dispersion US

Overview

Fund Strategy Volatility Arbitrage
Fund Geography US
Investment Advisor BNP Paribas Asset Management
Portfolio Manager DEHARBONNIER Solène
Fund Currency USD
Fund AUM $110.5m
Fund AUM (GBP) £83m
Fund AUM as of 18 September 2019
Fund Inception 15 May 2018
Fund Indices AH Volatility Arbitrage UCITS Index

Fund Objective

The THEAM Quant Dispersion US investment objective is to offer unitholders, over a recommended investment horizon of two years, a strategy which benefits from the rise in single stock volatility relative to their benchmark index. The Fund is for qualified investors wishing to invest in an instrument which provides the potential of diversification for an equity portfolio during material market drawdowns while offering a potential neutral carry cost over the medium term during rising markets. The Fund strategy is Implemented systematically via a basket of individual stock volatility swaps and an index volatility swap.

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