THEAM QUANT Dispersion US J Cap $

Management objective: The Fund aims to offer unitholders positive exposure, over the recommended investment period of five years, to changes in dispersion on the US equities market. Dispersion may be seen as a measure of the difference between the performance of the equities of a given market and the performance of this market.Key characteristics of the Fund:In order to achieve its management objective, the Fund will implement an investment strategy (the Strategy ) combining synthetic long exposure to the volatility of equities, selected among the 500 largest companies listed on the US markets, weighted on the basis of a defined systematic and quantitative algorithm ( Long Exposure ), and short exposure to the volatility of the S&P 500 index ( Short Exposure ). To do this, the Fund will enter into forward financial instruments, in particular call and put options, and into positions on the underlying assets in order to minimise the risk related to market movements (delta hedging). The maturity of the options cannot exceed 12 months. The combination of options and delta hedging aims to obtain a synthetic exposure to the difference between the implied and realised volatility of an underlying asset. The underlying equities of the Long Exposure are selected and weighted on the basis of a systematic algorithm drawn up from the following criteria: the first filter aims to exclude equities with atypical market behaviour and is applied to the universe made up of the 500 largest companies listed on the US markets; a second filter aims to retain equities with the highest market capitalisations to establish a filtered universe including around 50 equities; a z-score is then given to each equity in this filtered universe according to (i) the difference in the recent past between implied volatility and realised volatility, (ii) fundamental business criteria; lastly, a weighting aiming to maximise the overall z-score is attributed to each equity, under sectoral diversification co

PIR compliant

No

PEA compliant

No

PEA-PME compliant

No