Investment Objective
The THEAM Quant Dispersion US investment objective is to offer unitholders, over a recommended investment horizon of two years, a strategy which benefits from the rise in single stock volatility relative to their benchmark index. The Fund strategy is implemented systematically via a basket of individual stock volatility swaps and an index volatility swap.
The Fund is for qualified investors wishing to invest in an instrument which provides the potential of diversification for an equity portfolio during material market drawdowns while offering a potential neutral carry cost over the medium term during rising markets.
Latest Meeting Note
Meeting 17 Oct 2022
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...
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.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.1 | 0.8 | 0.1 | 0.7 | 0.9 | 0.8 | 0.8 | 0.2 | 0.0 | 0.3 | 0.1 | 0.7 | 0.7 | |
| 2022 | 0.7 | 0.4 | 0.5 | 0.3 | 0.5 | 0.5 | 0.4 | 0.3 | 0.6 | 0.3 | 0.6 | 0.8 | 0.8 |
