THEAM Quant Dispersion US

The THEAM Quant Dispersion US fund provides investors with exposure to equity dispersion on the S&P 500 index and its constituents. The premise of the strategy is to exploit the pricing inefficiencies in the equity volatility markets created by the unbalance between the offer and the supply of index/single stock option instruments. These dislocations are large and persistent, as there is generally structural demand for index vol (investors buying protection) vs. greater propensity to sell single stock vol (e.g. structured products such as autocallable, reverse convertible, etc issued by financial institutions). The fund is by construction designed to be long volatility with a neutral/positive carry during most of the economic cycle. Every month, the strategy systematically buys ‘cheap’ single stock volatility (basket of top 100 names in the S&P) and short ‘rich’ index volatility with equal notional on both sides. Trade maturity is typically 1 year.