Smart Beta: THEAM renames one of its low-volatility funds

Since the beginning of 2013, the Parvest Equity World Low Volatility fund’s assets have multiplied fourfold from €148 million in assets under management at 31 December 2012, to nearly €600 million at 31 May 2013. The fund has also been a commercial success with institutional investors, who represent 49% of the fund’s units, as well as non-professional customers, accounting for the remaining 51%.

Based on a systematic stock-picking approach via a quantitative model developed by THEAM, this smart beta fund allows investors to increase their equity exposure without changing their risk budget. The Parvest Equity World Low Volatility fund invests in low-volatility international equities, and aims to outperform the MSCI World Euro (NR) index over a complete market cycle, while reducing risk by 20% and maintaining a tracking error of less than 6% on an annualised basis.

The fund’s stock-picking strategy is based on the low-volatility anomaly theory according to which the least volatile equities generate, on average, a better return than more volatile equities. THEAM uses a "second-generation" approach in selecting the portfolio’s securities:
"Unlike traditional minimum variance strategies, this low-volatility fund does not limit itself to the least volatile securities, as this would overly concentrate the portfolio in the non-cyclical securities of the most defensive sectors", Etienne Vincent, Head of THEAM’s systematic and quantitative management, explains. "This fund targets the least volatile securities in every sector in order to fully take full advantage of low-volatility anomalies."

Overall, THEAM’s smart beta fund, with its low-volatility stock-picking approach on the markets, comprises over €800 million in assets under management.

Characteristics of the SICAV PARVEST Equity World Low Volatility subfund:

ISIN code:

• Classic CAP share category (EUR) LU0823417810
• I share category (EUR) LU0823418115
• Classic CAP share category units (USD) LU0823417653

Legal form: Subfund of Parvest, UCITS IV-compliant SICAV registered under Luxembourg law part I
Management Company: BNP Paribas Investment Partners Luxembourg
Appointed management company: THEAM
Managed by: Laurent Lagarde
Benchmark: MSCI World Index (NR) (EUR)
Launch date: 17/05/2013 [1]

Investors

Investor type profile: The shares of the sub-fund can be subscribed in by eligible investors who want to invest in available shares in accordance with the investment objective of the sub-fund.

Recommended investment horizon: The higher the risk, the longer the recommended investment horizon
Guaranteed capital: No

Risk

Foreign exchange risk: Yes
Commodity risk: No
Interest rate risk: No
Equity risk: Yes
Credit risk: No

SRRI: 6 on a scale of 1 to 7

Fees

Management fees: Share category C 1.98%; Share category I 0.93%
Maximum subscription fees: 5%
Outperformance fees: 0%
Buyback fees: 0%