BNP Paribas’ THEAM Quant – Cross Asset High Focus fund, which seeks to achieve diversified absolute returns across market cycles using a liquid UCITS vehicle, has reached €600 million in assets under management after launching in November 2021.
BNP Paribas’ THEAM Quant – Cross Asset High Focus fund, which seeks to achieve diversified absolute returns across market cycles using a liquid UCITS vehicle, has reached €600 million in assets under management after launching in November 2021.
Rebalanced monthly, the fund systematically allocates to a high-conviction portfolio of quantitative strategies selected to deliver a defensive profile over the long term. This is achieved by employing relative value, momentum, and carry factors across a mix of core asset classes. The resulting high focus portfolio has shown a low correlation between its components and therefore offers a well-diversified profile for a multi-asset portfolio.
The fund aims to generate quality liquid alpha by deploying a selection of components that rank best for expected behaviour on a number of quantitative criteria, in particular during major market drawdowns. Since launch, the Fund’s underlying strategy has returned 32.08%. Considering an even longer time horizon, simulated returns would have outperformed broad equity indices during the subprime debacle of 2008-09 and the Covid-19 market crash of 2020 by over 30% and nearly 10%, respectively. Its average annual volatility over a long time horizon is expected to be around 15%.
