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BNP Paribas’ marks fourth anniversary of THEAM Quant Dispersion US fund

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BNP Paribas has marked the fourth anniversary of the THEAM Quant Dispersion US fund one of its suite of systematic and alternative strategies, providing liquid exposure to a broad range of asset classes.

The fund aims to offer a long-run low to negative correlation to US equities by benefitting from the rise in single-stock volatility relative to a reference index. It does this through a long position in the volatility of a selection of the largest US stocks in the S&P 500, and at the same time, shorting the volatility of the index itself.
The fund aims to generate income and capital growth in bullish as well as moderately bearish markets, mitigating the need for investors to consider tactical market timing. Structured as a UCITS fund, it can function as a diversifying return vehicle with some portfolio hedging properties during market drawdowns or periods of macro stress, while simultaneously offering a potential neutral ‘carry cost’ over the medium-term during rising markets. Such hedging properties are not guaranteed in all market scenarios, and the carry of the strategy can also be negative depending on the dynamics of the volatility markets.
Dispersion, as a strategy, originated as a risk-warehousing tool for options trading desks in banks, enabling them to profitably manage the risks associated with client flows. The approach then became a core strategy for equity hedge funds in the early 2000s.
Since inception, the Fund has generated an average annual return of 4.68%, with a low correlation with the S&P 500 Index (7%).

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