BNY Mellon Dynamic Factor Premia V10

The Dynamic Factor Premia V10 fund (DFP) is a systematic multi-strategy approach designed to run at a 10% risk target and deliver returns of approximately 6% above cash. It currently combines three core strategies (with allocations ranging 20-50%); Macro Relative Value (RV), Cross-Asset Trend, and Equity Factor Long/Short, with plans to add a Commodity Long/Short component. Macro RV primarily focuses on carry and structural premia across eight asset classes and 80+ markets, and should exhibit low to zero correlation with global equities. The Cross-Asset Trend sleeve provides tactical long or short exposure in five asset classes and over 60 markets, using medium-term trend signals to adjust risk allocations; it tends to perform during periods of market stress but can be challenged when markets are in risk-on mode. Meanwhile, Equity Factor Long/Short targets momentum, quality, value, and low volatility across more than 1,200 global stocks. The factors are combined using equal weighting to produce a combined long/short multi-factor portfolio. Each of these strategies is implemented primarily through derivatives, allowing the portfolio to remain cash plus while maintaining capital efficiency. The overall portfolio construction is designed to manage drawdowns, reallocate risk where dispersion is high, and adapt quickly when trends weaken. A put spread overlay on equity positions helps mitigate downside risk, and the strategy’s daily models and monthly rebalancing ensure responsiveness to changing market conditions.